The Sharpe Ratio Indicator is a widely-used tool designed to measure the risk-adjusted performance of an asset. The Sharpe Ratio helps investors understand how much excess return they are receiving for the extra volatility endured for holding a riskier asset. By comparing the return of an investment to the risk-free rate and accounting for the volatility of the investment's returns, the Sharpe Ratio provides a clear metric for evaluating the return on investment per unit of risk.
Features:
Calculation Period Input: Allows users to specify the period over which the Sharpe Ratio is calculated, making it flexible and adaptable to various trading strategies and time frames. Risk-Free Rate Input: Users can set a specific risk-free rate, enabling a customized risk-return analysis based on prevailing market conditions or individual investment preferences. Daily Returns Calculation: The indicator calculates daily returns, which are used to determine the mean return and standard deviation. Sharpe Ratio Calculation: The indicator calculates the Sharpe Ratio by dividing the excess return (mean return minus risk-free rate) by the standard deviation of returns and annualizing the result (assuming 252 trading days in a year). Visual Plot: The Sharpe Ratio is plotted on the chart, with a reference zero line to help users quickly assess whether the asset's returns are favorable relative to the risk-free rate. How to Use:
Add the Indicator to Your Chart: Copy the script into the Pine Script editor on TradingView and add it to your chart. Specify the Calculation Period: Adjust the Calculation Period input to match your desired time frame for the Sharpe Ratio calculation. Set the Risk-Free Rate: Input the current risk-free rate (e.g., the yield on 10-year government bonds) to customize the risk-return analysis. Interpret the Sharpe Ratio: A higher Sharpe Ratio indicates better risk-adjusted performance, while a ratio below zero suggests that the asset has underperformed relative to the risk-free rate.
Script de código aberto
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.