Topic: Sharpe ratio!?
Hi all,
A beginner question... How do I get the Sharp ratio from my strategy built in fsb? The p/l curve looks awesome so something has 2 be wrong... 
Thanks,
/Love
- Popov
- Lead Developer
- Offline
Re: Sharpe ratio!?
Switch the Additional Statistics option on. It is situated under the Testing menu item. The Sharpe Ratio is listed in the bottom of the stats table in the Strategy Overview togeder with many other parameters.
Sharpe works only when the account is sown in currency.
Re: Sharpe ratio!?
Thanks a lot!
Best of luck 2 U!
/Love
Re: Sharpe ratio!?
Hi Popov or anyone else!?
What is the normal Sharpe ratio for a strategy? Can u compare a hedge fund to a strategy? I thought I had a excellent strategy,high p/l low max draw downs,nice smooth p/l curve... But the Sharpe is only 0.14!!!?? Very strange according to the smooth curve, tight s/l and frequent trades (cable 4h, approx 1trade/24h etc.)
W/L ratio 0.74 , historical data is 10y. What is wrong and what is the most common trap when building a strategy?
Thanks,
/Love
Re: Sharpe ratio!?
Hi Popov,
according to the parameter "sharpe ratio" in fsb, what "risk free" rate is the system using? I don't understand why my strategy whit a good smooth p/l has a sharpe of only 0.14!?
Best regards,
Love
Re: Sharpe ratio!?
Does anybody know which "risk free" rate the fsb is using when calculating e.g. Sharpe ratio? Where can I see this details? Could have impact on the results...
Thanks,
Love
- Blaiserboy
- Junior Part-Time Aspiring Space Cadet
- Offline
Re: Sharpe ratio!?
Love wrote:
Does anybody know which "risk free" rate the fsb is using when calculating e.g. Sharpe ratio? Where can I see this details? Could have impact on the results...
Thanks,
Love
My thinking is that if the risk free rate is constant in all tests then the value of the risk free rate does not have to be adjusted, we can use the rat6io on a comparative basis.
If the risk free rate was being regularly adjusted, results of a strategy would be varying from week to week or whatever the frequency of adjustment is, thereby rendering old strategies as obsolete.
IMHO