OPEN-SOURCE SCRIPT
Sharpe Ratio BTC vs Gold
It calculates the Sharpe Ratio for Bitcoin (BTCUSDT) and Gold (XAUUSD).
Uses log returns to compute risk-adjusted returns.
Takes a 30-day lookback period by default.
Risk-free rate is set at 3% annualized, converted to daily.
Plots both Sharpe Ratios on the same chart: Bitcoin (Blue line), Gold (Red line)
Uses log returns to compute risk-adjusted returns.
Takes a 30-day lookback period by default.
Risk-free rate is set at 3% annualized, converted to daily.
Plots both Sharpe Ratios on the same chart: Bitcoin (Blue line), Gold (Red line)
Open-source script
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.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
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.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.