Need references

[askalas]

I'm currently implementing formulas such as Sortino, Sharpe and Ulcer Index in .Net and I'm having a hard time to verify/test them.

Can anyone point me in a direction where I can find actual examples? Preferably on the net but a book is fine to.

Resources such as investopedia.com gives me the overall formulas but no examples that can help me verify my own implementations.

Thanks,
Jimmy

 

[xusorcim]

Try this webbie for ulcer index Peter Martin, Ulcer Index. There's an xls file that might what you're looking for. There's Pseudo-code too.

Sharpe ratio's formula is not that hard to implement in EXCEL. You might want to try getting some historical data and just using EXCEL to generate the answers to test your program.

Sometimes it's better to do things yourself. I've had a textbook that's compulsory reading for my university course. And I can tell you there are so many mistakes in it, its not funny. I wasted so much time trying to find out where I went wrong, when it was the textbook that had a typo.