Stock screener Sharp Value

• 09/23/2018 at 11:08 PM #81140
  Abz

  Hello

  attached is a stock screener posted by Gabri. I am monitoring 25 stocks with this screener and want to know the sharp value on certain historical dates is it a easy way modify this screener code to get that ? or do i need to use it as a indicatior then i need to check it on every stock and a list view in screener windows is much more appreciated.

   

   

  periodo=254 RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(254)*std[periodo](a) //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s)

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  periodo=254 RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(254)*std[periodo](a)   //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s)

   

  

  Abz

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  09/24/2018 at 12:22 AM #81141
  robertogozzi

  Screeners cannot scan past data, so you’ll have to use it as an indicator, changing dates as they suit you best (not tested):

  periodo=254 RitMensNoRiskTitle=0 IF date >= 20150101 AND date <= 20150331 THEN //dates Jan.1st, 2015 - march 31st,2015 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(254)*std[periodo](a) //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s) else sharpe=0 return Sharpe

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  periodo=254 RitMensNoRiskTitle=0 IF date >= 20150101 AND date <= 20150331 THEN     //dates Jan.1st, 2015 - march 31st,2015    a=log(close/close[1])    b=summation[periodo](a)    s=sqrt(254)*std[periodo](a)    //computation of modified Sharpe index    sharpe=(b-RitMensNoRiskTitle/100)/(s*s) else    sharpe=0 return Sharpe

   

  

  robertogozzi

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  09/24/2018 at 9:38 AM #81165
  Nicolas

  Do you want to get the ‘sharpe’ values of a very specific date or just the one from X bars ago from now (today)?

  

  Nicolas

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  09/24/2018 at 12:46 PM #81180
  Abz

  X bars woud also work for me .

  

  Abz

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  09/24/2018 at 1:51 PM #81194
  Nicolas

  Ok, so let’s introduce a X setting and screen Sharpe variable within this offset in the past:

  periodo=254 X = 10 periodo=periodo-X RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(254)*std[periodo](a) //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s) screener (sharpe[x])

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  periodo=254 X = 10   periodo=periodo-X RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(254)*std[periodo](a)   //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s)   screener (sharpe[x])

   

  

  Nicolas

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  09/24/2018 at 7:51 PM #81240
  Abz

  i tested i out on 35 bars and screener says 7.44 in value and indicator says 10.96 any idea on why it is different?

  

  Abz

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  09/25/2018 at 7:24 AM #81253
  Nicolas

  Because original code used 254 bars of history for the calculation (data limit for ProScreener), I changed the way it is calculated by the subtracting the desired lookback of 254.

  Just found that I made an error too:

  periodo=254 X = 10 periodo=periodo-X RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(periodo)*std[periodo](a) //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s) screener (sharpe[x])

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  periodo=254 X = 10   periodo=periodo-X RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(periodo)*std[periodo](a)   //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s)   screener (sharpe[x])

   

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  Abz

  

  Nicolas

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  05/03/2019 at 12:48 AM #97590
  Abz

  Hello

   

  is it possible to write the sharpe value on every 7 candlestick? it will be easy to read the value for each instrument

  

  Abz

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