Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Ranking by Sharp Ratio?

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Ranking by Sharp Ratio?

    Is there a way to rank results from the optimizer by sharp ratio. Also how is the profit factor calculated?

    Also would like to request a feature: a Exit on Weekend option so you can stay in trades overnight but shore up positions over the weekend.

    #2
    Unfortunately you cannot sort by Sharpe ratio. This is how profit factor is calculated: http://www.ninjatrader-support.com/H...fitFactor.html

    Thank you for the suggestion.
    Josh P.NinjaTrader Customer Service

    Comment


      #3
      Ok, I'd like to request a sort by Sharpe Ratio feature too :P

      Comment


        #4
        Sorry for the confusion. You actually can sort by Sharpe ratio. When you finish your optimize, please right click in the Optimizer tab and select "Grid Properties". Then just add the Sharpe ratio column and then you can sort by that.
        Josh P.NinjaTrader Customer Service

        Comment


          #5
          Hello My friends,

          This post is pretty old and the link is expired. I would like to know how the Profit Factor is calculated.
          If PF is below 1, it means the strategy has egative realized performance?

          Thanks

          Marcio
          mcosta72
          NinjaTrader Ecosystem Vendor - Quant-Wise

          Comment


            #6
            Hello Marcio,

            Thanks for your post.

            Correct, from the help guide: "A ratio less than one indicates your strategy loses more money than it earns."

            The formula is shown as Gross Profit / Gross Loss.

            Please see, "Understanding Profit Factor" on this page: https://ninjatrader.com/support/help...efinitions.htm
            Paul H.NinjaTrader Customer Service

            Comment


              #7
              Hi Paul,

              Thank you for replying.
              I got some ProfitFactor = 99 after the first trade of the day. I am sure NT is using daily cycles for Gross Profit and Loss, so is there any "if" in the function script when Gross Loss equals zero?

              Best,

              mcosta72
              NinjaTrader Ecosystem Vendor - Quant-Wise

              Comment


                #8
                Hello mcosta72,

                Thanks for your reply.

                With the link previously provided, you can review how gross profit and gross loss are calculated.
                Paul H.NinjaTrader Customer Service

                Comment

                Latest Posts

                Collapse

                Topics Statistics Last Post
                Started by Unsuitable, Today, 07:26 PM
                0 responses
                1 view
                0 likes
                Last Post Unsuitable  
                Started by jvanelli, Today, 06:36 PM
                1 response
                6 views
                0 likes
                Last Post jeronymite  
                Started by twitch251, Today, 05:14 PM
                1 response
                5 views
                0 likes
                Last Post NinjaTrader_ShawnB  
                Started by robforee2, Today, 05:07 PM
                0 responses
                4 views
                0 likes
                Last Post robforee2  
                Started by blar58, Today, 03:16 PM
                1 response
                6 views
                0 likes
                Last Post NinjaTrader_Melissa  
                Working...
                X