Přejít k obsahu | Přejít k hlavnímu menu | Přejít k vyhledávání

How is the sharp ratio metric calculated by QA for forex ?

3 replies

4 years ago #254718

Hi.

I would like to understand how the application calculates its performance metrics upon performing an analysis from loading one or multiple metatrader , namely the sharp ratio metric which is the one that most interests me.

Thank you.

Cris

4 years ago #254723

Hello,

the standard formula is used. It also considers 5 % benchmark value for the formula

4 years ago #254732

tomas262 wrote:

Hello, the standard formula is used. It also considers 5 % benchmark value for the formula

Thanks for your prompt answer.

Just to confirm: is it the annualized value ?

4 years ago #254796

In QuantAnalyzer it is calculated as monthly ratio

Viewing 3 replies - 1 through 3 (of 3 total)

Risk Disclosure:
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure:
Testimonials appearing on www.strategyquant.com may not be representative of the experience of other clients or customers and is not a guarantee of future performance or success.