Download MetaTrader 5

about Sharpe Ratio

To add comments, please log in or register
Fa Cao
1141
Fa Cao  

its formula is : [E(Rp)-Rf]/σp

I want to know how I can get the value of σp / Sharpe Ratio according to test report of MT4.

In addition, shall I know how much money at most have been used in historical back testing according to test report?

thank you !

gchrmt4
356
gchrmt4  
vx0532:

its formula is : [E(Rp)-Rf]/σp

I want to know how I can get the value of σp / Sharpe Ratio according to test report of MT4.

In addition, shall I know how much money at most have been used in historical back testing according to test report?

thank you !


The MT4 backtesting report does not contain enough information to calculate a Sharpe ratio. You would need day-end figures for account equity (or, if you are less fastidious, month-end figures).

If you have relatively few positions which are open overnight then you can use balance as an approximation for equity: i.e. use the trade list from the backtesting report to compile day-end figures for the account balance, and assume that the day-end equity is not significantly different.

Fa Cao
1141
Fa Cao  
gchrmt4:


The MT4 backtesting report does not contain enough information to calculate a Sharpe ratio. You would need day-end figures for account equity (or, if you are less fastidious, month-end figures).

If you have relatively few positions which are open overnight then you can use balance as an approximation for equity: i.e. use the trade list from the backtesting report to compile day-end figures for the account balance, and assume that the day-end equity is not significantly different.



Thank you
To add comments, please log in or register