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At 3:49 PM -0500 3/17/03, 'Lazy Bastard' wrote:
>TradeStation's Performance report requires 36 months worth of data to
>implement its verions of the Sharpe Ratio because it assumes you're using
>daily bars. You need at least 35 data points/ random variables to have a
>statisticly significant reading.
Also, the calculation in TradeStation 2000i is not correct. I do not
know about TS6.
I discussed this with the people at Rina Systems (who wrote the code)
and they said they would changing the calculation in their ad-on
product but said whether the change ever makes it into TradeStation
was up to TradeStation.
Bob Fulks
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