How to calculate sharpe ratio in python? by Yd124

Hi,

Thanks for helping me!

I am reading

https://github.com/QuantConnect/Lean/blob/6af20c3d8a5713ef1e58ae924e05cde0a5fff8fd/Common/Statistics/Statistics.cs

and try to write annualized sharpe ratio in python.

1. calculate daily performance

2. calculate annual performance rate and standard deviation

3. get one year US treasury yield curve rate

But the sharpe ratio I get in (Log) is 1/2 of the one in Overview (12 months). Can someone help me to improve my sharpe ratio calculation? Thank you so much!

Hi Nik,
we totally agree that order fills for limit (and stop/stoplimit) orders should never be emitted if there is no new data,
there is a proposed fix here (currently under review):

https://github.com/QuantConnect/Lean/pull/2548

For the volume in fill-forward bars being copied over from previous bars, this was definitely a bug and has already been fixed and merged yesterday:

https://github.com/QuantConnect/Lean/pull/2540

Regarding your two questions:
1. In OnData, to know if a bar is real or fill-forward, you can use the BaseData.IsFillForward property:

var isFillForward = bar.IsFillForward;

2. There is no easy way to generate artificial bars in LEAN for any symbol, all existing models should work with the actual (real) trade data.

Hopefully the two bug fixes above will improve the accuracy of your backtesting results.

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