advanced-algorithmic-trading

497
Figure 32.3: Sentiment Sentdex Strategy - Defence Stocks
rolling Sharpe since the volatility of returns was largely similar. By the start of 2015 the Sharpe
was between 0.5 and 1.0, meaning more risk was being taken per unit of return at this stage.
By the end of 2015 the Sharpe had risen slightly to around 1.5, largely due to some consistent
upward gains in the latter half of 2015.
Note that the Sharpe ratio of both the benchmark and the strategy were broadly similar from
mid-2014 onwards, suggesting that there was little to be gained (from a reward-to-risk point of
view) by investing in the strategy as opposed to buying and holding SPY. Although this of course
ignores the initial gains made by the strategy in 2013.