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Blaine,
> Has anyone coded a function for the Sharpe Ratio that would output a
> system's Sharpe Ratio to the printlog when date = lastcalcdate (or
> something similar).
> No use reinventing the wheel myself if someone has already done it.
I have included a code which I wrote sometime ago and which can be
included in any system in order to store the total equity on each bar
and calculate some sharpe ratio. Attached you will find a dll which I
used to accomplish this since it is necessary to store the total
equity for each day somewhere without running into the maxbars back
problem.
I am sure you will get the idea.
Gerrit Jacobsen
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