Re: [amibroker] Sharpe Ratio results in Backtest

["Tomasz Janeczko" <amibroker@xxxxxx>]

Hello,

http://www.amibroker.com/guide/w_report.html
says:

"Sharpe Ratio of trades - Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is very good. More 
information http://www.stanford.edu/~wfsharpe/art/sr/sr.htm . Calculation: first average percentage return and standard deviation of 
returns is calculated. Then these two figures are annualized by multipling them by ratio 
(NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of return is subtracted (currently hard-coded 5) from 
annualized average return and then divided by annualized standard deviation of returns"

so, I think it is clear that it is annualized.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "eric paradis" <thechemistrybetweenus@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, October 15, 2005 3:44 PM
Subject: [amibroker] Sharpe Ratio results in Backtest


> Hi,
>
> Is the Sharpe Ratio listed in the Backtest the daily
> ratio, or annualized ratio? I cant find any info on
> this in the documentation.
>
> Thanks,
>
> Eric
>
>
>
> __________________________________
> Yahoo! Music Unlimited
> Access over 1 million songs. Try it free.
> http://music.yahoo.com/unlimited/
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
> 



------------------------ Yahoo! Groups Sponsor --------------------~--> 
Try Online Currency Trading with GFT. Free 50K Demo. Trade 
24 Hours. Commission-Free. 
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~-> 

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/