Sharpe ratio of Australian stocks in Matlab - 05/09/2020 06:10 EDT

• Status: Closed
• Prize: $50
• Entries Received: 1
• Winner: vhts09

Winner

Contest Brief

Matlab stock alert and screener using Sharpe ratios
1. Develop Matlab App program that downloads daily closing prices of all Australian stocks in the ASX300 using data from yahoo or google. Refer to this sample code that downloads the stocks from yahoo. You can probably clone the below program and modify it to save you time. (https://www.mathworks.com/matlabcentral/fileexchange/66699-download-yahoo-finance-stock-data-gui)
2. Calculate the Sharpe ratio for each of the stocks daily. Sharpe ratio computed from below:
dividend_yield = 0.000
len=365
src=close
pc = ((src - src[len])/src) + (dividend_yield*(len/252))
std = stdev(src,len)
stdaspercent = std/src
riskfreerate = 0.0004
sharpe = ((pc - riskfreerate)/stdaspercent)

3. Plot the Sharpe ratios for the stocks in different colours and show legend.
4. Recalculates the sharpe ratios daily
5. Script needs to be fast, downloads new data and appends it to the previously downloaded data
6. Program needs to have a user interface, developed using Matlab App Designer (preferably)
7. Program should also have a table with these columns: name of stock, number of days since the Sharpe ratio crossed over zero, current Sharpe ratio of stock. The table should be sortable, highest to lowest/lowest to highest.
8. There should be an option to easily add or remove stocks in the app
9. The program should send me an email when any of the stocks sharpe ratio crossedover zero.
10. Provide me with the working script for this app

Recommended Skills

• Matlab and Mathematica