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How NT calculate the Sharpe Ratio?

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    How NT calculate the Sharpe Ratio?

    Hi,

    How NT calculate the Sharpe Ratio?

    For example I have a strategy that trades ES futures.
    The strategy made in 2 years 120 trades. Each trade has its $ profit or loss and I can have Standard deviation of it. How the calculation is made in NT?

    #2
    freewind,

    It should be the standard calculation as this is an industry standard.

    http://en.wikipedia.org/wiki/Sharpe_ratio
    Adam P.NinjaTrader Customer Service

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      #3
      Which risk-free rate do you use?

      It's an issue in that the Sharpe Ratio number is meaningless unless you know the risk-free rate. However if you're just comparing two different strategies it's not that big of a deal.

      Comment


        #4
        Moody,

        I'd imagine it would be the rate of return on shortest dated T-bills but I am not absolutely positive. I would have to ask someone in development about that since it could be something else calculated internally.

        Ill get back to you. Thanks for your patience.
        Last edited by NinjaTrader_AdamP; 12-03-2011, 02:17 PM.
        Adam P.NinjaTrader Customer Service

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          #5
          Moody,

          Apparently the risk-free rate is set to 0.

          Please let me know if I may assist further.
          Adam P.NinjaTrader Customer Service

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            #6
            Thanks for the heads up!

            Comment

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