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Sharpe Ratio

Leo · 2019-10-25T11:06:53+00:00

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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ProOrder: Automated Strategies & Backtesting
Sharpe Ratio

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10/25/2019 at 12:06 PM #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.
Unbenannt.jpg

10/25/2019 at 12:26 PM #111187 quote

Nicolas
Keymaster

Legend

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!

10/28/2019 at 8:57 AM #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, 11 months ago.

Topic Details

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

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Sharpe Ratio

Stuck on this ProBuilder code?

Sharpe Ratio ProOrder: Automated Strategies & Backtesting

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Sharpe Ratio

ProOrder: Automated Strategies & Backtesting