On MQL4 function
//+------------------------------------------------------------------+ //| вычисляет на основании массива значений Баланса | //+------------------------------------------------------------------+ // RiskFreeRate в абсолютных величинах, если безрисоквая ставка равна 2%, то нужно передавать 0.02 double GetSharpFromArray(double & AHPR, double BalanceArray[],double RiskFreeRate=0,bool direct=true) { double res,Std; //---- int i,limit=ArraySize(BalanceArray); if (limit<2) { Print("Мало данных для функции GetSharpFromArray!!!!"); return(0); } double HPR[]; int N=limit-1; ArrayResize(HPR,limit-1); if (direct) { for (i=1;i<limit;i++) { if (BalanceArray[i-1]!=0) { HPR[i-1]=BalanceArray[i]/BalanceArray[i-1]; AHPR+=HPR[i-1]; //Print("i=",i-1," Balance[",i,"]=",BalanceArray[i-1]," HPR[",i,"]=",HPR[i-1]); } } } else { for (i=limit-2;i>=0;i--) { if (BalanceArray[i+1]!=0) { HPR[i]=BalanceArray[i]/BalanceArray[i+1]; AHPR+=HPR[i]; //Print("i=",i," Balance[",i,"]=",BalanceArray[i]," HPR[",i,"]=",HPR[i]); } } } AHPR=AHPR/(N); for (i=0;i<N-1;i++) { Std+=(AHPR-HPR[i])*(AHPR-HPR[i]); } Std=MathPow(Std/(N-1),0.5); res=(AHPR-(1.0+RiskFreeRate))/Std; //---- return(res); }
Thank you very much Rosh,
How about Sortino Ratio ?
Sortino is known as more realistic measure of risk-adjusted returns than the Sharpe
and it is penalizes only downside returns while the Sharpe ratio penalizes both upside and downside volatility equally .
The Sortino Ratio is a variate of the Sharpe Ratio. You should be able to adapt the Sortino Ratio spreadsheet here to modify the code above to calculate the Sortino Ratio
The Sortino Ratio Excel spreadsheet is now here
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Can anybody from MT4 developers or experienced guys publish formulas/methods for Sharp Ratio calculations used in new reports on Championship website.
I am interested in Sortino Ratio calculations as well
Does anybody know how ...
Please