OPEN-SOURCE SCRIPT
2 Asset Optimal Portfolio
This script calculates and plots either the Sharpe Ratio or Sortino Ratio for a two-asset portfolio using historical price data, allowing users to analyse how different allocations affect portfolio performance over a specified lookback period.
Features:
Determine the weights of 2 assets and how they affect the the Sharpe or Sortino ratio.
Adjust timeframe to suit your personal investment timeframe.
User Inputs:
1. Asset 1 and Asset 2: Choose any two symbols to evaluate (default is BTCUSD for both).
2. Look Back Length: Number of past bars (days) to use for calculations (default is 365).
3. Source: Price source for returns (default is close).
4. Ratio: Select which ratio to plot — Sharpe or Sortino.
5. % of Asset 1: Portfolio weight (from 0 to 1) for Asset 1.
Features:
Determine the weights of 2 assets and how they affect the the Sharpe or Sortino ratio.
Adjust timeframe to suit your personal investment timeframe.
User Inputs:
1. Asset 1 and Asset 2: Choose any two symbols to evaluate (default is BTCUSD for both).
2. Look Back Length: Number of past bars (days) to use for calculations (default is 365).
3. Source: Price source for returns (default is close).
4. Ratio: Select which ratio to plot — Sharpe or Sortino.
5. % of Asset 1: Portfolio weight (from 0 to 1) for Asset 1.
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.
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.
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.