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Georgia Tech - CS 7646 - Class Notes - Week 2

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Georgia Tech - CS 7646 - Class Notes - Week 2

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School: Georgia Institute of Technology
Department: Computer Science and Engineering
Course: Mach Learn for Trading
Term: Fall 2018
Tags: #machineLearning and #trading
Name: ML4T: Week2
Description: 01-07 Sharpe Ratio and other Portfolio Statistics 01-08 Optimizers: Building a Parameterized Model
Uploaded: 08/31/2018
2 Pages 15 Views 12 Unlocks
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Unformatted text preview: 7. Sharpe Ratio and cher Portfolio Statistice Daily Portfolio Values Start. val - 1000000 Start-date - 2009-/-/ end-date - 2011-12-31 y stocks allocs (0.4 0.4, 0.1, 0.17 Pricee indexed by date for all foue stocks _ Norrplize by Yusst das normed - divid each soul by the prices in frict Soul Multiply normed by alloci - Multibey normedt atloce * Start-val. =boxt-vale * 400000 400000 10000D //00000* 2009-12 T ! * Daily portfolio value I each cow U -rals al Stoeke port-ral - bas-vals. sum Larisal__kow-cere Low-wireportfolio Statistik o Daily retums - Current port. val - yech-portval. > makes rehun of feest kow zero. So get rid of that 206 daily-ren's didly-retto:] Imp Slak Cunmulative returne Average daily letne Standuid daty deration of daily return Sharpe xation tart rat- o cum-ret - port-val E-17_-LARI port_rella fr st val. 10 - - - arq-daily-ret - mean of post-vale sid-daily get = Sd of post-valp. * Sharpe Patio d > Risk adfilted return apaint ag inet volitility and schede All elle being equal - Lower with a better Higher veturn is better+ SR also considext vick thee rate of veturn o shoppe Ratio RRE Rp = portfolio gerin Re Risk free rate of reluan 2 std der of portfolio metum SE E[Re-RF] expected value Std Re-Re7 meen ( daily-rek - daily-rf) -- steht daily nek - daily.rt) + What is the pick free sate? 41 BOR 3mo. T-bill 0%. => daily-of 283/1.0+0.4 - 1 18 approx to o S- mean I daily-reks- daily of) Stetotaity-rek) + Sharpe ratio can vary widely depending on howe terucutty you can be dy depending on how + Shek pexatid wan ankrual este for mendire acceiling iti oliginal vilion ++ Acrubled other than annually there woed + sing an adjustment factor to be adjusted

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