Friday, September 14, 2012

Version 1.5.5 is out, just tell it what's the risk free yield to affect Sharpe measurement

Talk about an evolution. It started with a temporary glitch on Yahoo!Finance which forced me to revert to a default yield value, and allow alternative real world result for the "risk free yield" being used to measure Sharpe. And then I was asked over on email: well, why not let us pick the yield? It will allow better Particle-Swarm optimization, and will allow meager results to be disqualified as negative Sharpe.

Download on this site, version 1.5.5 is out.

Cheers!

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