Sharpe Ratio issue:

[Reaver]

Good evening.

I have been testing out the 6.5 latest beta version and have noticed that Sharpe ratio seems to always be stuck at 1.0 no matter what I do. I have been messing around with the sim feed and did some pretty outlandish trades just to see if I could get it to change, but it remains "stuck" at 1.0.

Has anyone else had this issue? Just wondering what the explanation may be.

Thanks.

[NinjaTrader_Dierk]

Sharpe is calculated based of the standard deviation of monthly returns. If there is no trade data for several months (to calculate the standard deviation), then it would yield the default value of 1.

[Reaver]

Sharpe is calculated based of the standard deviation of monthly returns. If there is no trade data for several months (to calculate the standard deviation), then it would yield the default value of 1.

Ahh, I just noticed that. Sorry I had a brain fart.

[Sidhartha]

I'm also getting this Sharpe Ratio stuck at 1 problem.

Currently I'm backtesting over about a months worth of 5 min bar data. And over that period I get about 68 trades. I have a P&L for every single one of those days.

How do you guys actually calculate the Sharpe Ratio...? Do you take the daily returns and the standard deviation of daily returns...? Or monthly or annual...?

Thanks

[NinjaTrader_Dierk]

http://www.ninjatrader-support.com/HelpGuideV6/SharpeRatio.html

[Sidhartha]

Thanks Dierk.

I honestly think you might be better annualising from daily returns and daily standard deviations. Makes the Sharpe Ratio mean a little more because of the increased number of data points. Using monthly figures makes the SR very unstable over anything less than 3 or 4 years worth of data.

Might be something to think about at least.

[NinjaTrader_Dierk]

Thanks for your suggestion. We'll add it to the list of future considerations.

[dave1992]

Did anything ever come of this? I would also really like the option of Sharpe ratio calculated by daily returns. Perhaps just a toggle button in the options between daily/monthly? It would be extremely useful for all those strategies which are higher frequency/tick based (some data providers only provide a few weeks worth of tick data)

thanks
Dave

[pmorissette]

Totally agree. The industry standard is daily Sharpe. More robust. I am currently working on a script to try to calculate it. Let me know if you guys already have this or if you have any ideas on how to program it.

[pmorissette]

On that note, is there any way to access the data provided in the "Period" tab - i.e. daily returns???

Cheers

[NinjaTrader_Bertrand]

Thanks for the feedback guys - you could access the profit per month, unfortunately not the daily return - http://www.ninjatrader-support.com/H...luesClass.html

[pmorissette]

Problem solved.

I just wrote up a custom type that yields the annualized daily sharpe ratio. Here it is:

http://www.ninjatrader.com/support/forum/showthread.php?p=183040#post183040

Cheers.