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Ranking by Sharp Ratio?

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    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

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          #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

          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,

              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

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