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Formula to replicate sharpe value shown in backtest in my actual algo

for each day before trading start I get an array (that appends to the previous day) of context.portfolio.returns
mean = np.mean(context.portfolio.returns)
std = np.std(context.portfolio.returns)
sharpe = mean/std * np.sqrt(252)

The value this gives is much larger than than the value on the backtest.
Also is my formula taking into account the risk free rate (SPY)?

Could someone please provide some advice.

1 response

Quantopian has all of our risk metric calculations in this open source project, empyrical.


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