How can I calculate the Burke ratio?

You can find attached the formula of Burke ratio, where DDi is the i-th drawdown and n the number of DD realized over the last L trading days.

Note that I need to calculate it not over the whole period, but on the last L trading days. Thus, the Maxdrawdown function is not usefull in this case because I need ALL the realized DD, so I can squared and sum them.

[David Hill]

How is your value information stored? Is it a value array with elements per minute, or hour, or day? The modified Burke ratio is not hard to compute. An example of your data would be helpful.

[Ludovica Moro]

I have the daily price vector of an asset. The whole period is 4038 trading days, but I need to study BR on last L=5 and L=22 days.

[Image Analyst]

Which one of those variables (E, G, R, DD, n) is your price vector? What are the values of the other variables, and L and t also? Sorry - I'm not up on financial trading terminology.

Did you try

numerator = (EL(gt) - rf)
denominator = sqrt(sum(DD(1:L) .^ 2 / n));
BRt = numerator / denominator

Answer 1

[David Hill]

dailyRateofreturn=diff(value)./value(1:end-1);
freeReturn=.00003;%whatever you decide
maxRolling=arrayfun(@(n)max(value(1:n)),2:length(value));
dailyDrawdown=value(2:end)./maxRolling-1;
BR5=(mean(dailyRateofreturn(end-5:end))-freeReturn)/(sqrt(sum(dailyDrawdown(end-5:end).^2)/5));

[Ludovica Moro]

It works! Really thanks!

[David Hill]

You should accept answer to close it out.