IMPORTANT: two fixes 1) S&P series 2) Sharpe ratio

Announcements
1

Dear All, We fixed two issues that can affect previous backtests:

  1. SP estimate series , like #SPEPSCY, was laggin one week in simulations. This was reported here , and it’s now fixed.

  2. The Sharpe & Sortino functions, including Sharpe1Y,2Y, etc found in TECHINCAL->VOLATILITY now return N/A is not enough data. For example calculating Sharpe1Y for a stock that has less than 6 months of data will return NA.

Let us know of any issues or concerns.

Thanks

2

Thanks Marco. This change makes my simulation returns using #SPEPSCY significantly higher.