Sharpe Ratio

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  • #111180 quote
    Leo
    Participant
    Veteran

    Hi all,

    Someone know if it is possible to Code the Shape Ratio of a strategy?

    Or someone has an idea how oto do it?

    Thanks.

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    #111187 quote
    Nicolas
    Keymaster
    Master

    The base of the formula is here: https://www.prorealcode.com/topic/screener-sharpe-ratio/#post-69807

    but it calculated the sharpe ratio with Close data serie while you want it to be made with the performance of each order? In this case, it needs some adaptation!

    #111381 quote
    Leo
    Participant
    Veteran

    Hi Nicolás,

    The one I mean is use for measure how good is your strategy  

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Sharpe Ratio


ProOrder: Automated Strategies & Backtesting

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Leo @leito Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by Leo
6 years, 4 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 10/25/2019
Status: Active
Attachments: 1 files
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