Help code functions Sortino Ratio and Sharpe Ratio.

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Hermo
383
Hermo  

Good morning to all:

I'm looking for two functions for MT4 and can not find them on any site.

A function would calculate the Sharpe Ratio and other functions calculate the Sortino Ratio.

The only thing I find is the function of Sortino Ratio and not working.

Sharp Ratio or/and Sortino Ratio - MQL4 forum

I have the code in another programming language but I am unable to change it to MT4, someone has created these two functions.

Sortino Ratio in VBA

Calculate the Sortino Ratio with Excel

VBA for the Sharpe Ratio

Calculate the Sharpe Ratio with Excel

Could share.

My idea is to add an information panel on an EA generated results.

I appreciate the help in advance.

A hug.

Hermo.

Files:
Mladen Rakic
105819
Mladen Rakic  
Hermo:
Good morning to all:

I'm looking for two functions for MT4 and can not find them on any site.

A function would calculate the Sharpe Ratio and other functions calculate the Sortino Ratio.

The only thing I find is the function of Sortino Ratio and not working.

Sharp Ratio or/and Sortino Ratio - MQL4 forum

I have the code in another programming language but I am unable to change it to MT4, someone has created these two functions.

Sortino Ratio in VBA

Calculate the Sortino Ratio with Excel

VBA for the Sharpe Ratio

Calculate the Sharpe Ratio with Excel

Could share.

My idea is to add an information panel on an EA generated results.

I appreciate the help in advance.

A hug.

Hermo.

That is a function that calculates Sharpe ratio and it works

You have to pass an array containing historical balances to it among other things and then it will calculate the Sharpe ratio. Without a filled array, it will not do anything

Hermo
383
Hermo  
mladen:
That is a function that calculates Sharpe ratio and it works You have to pass an array containing historical balances to it among other things and then it will calculate the Sharpe ratio. Without a filled array, it will not do anything

Good afternoon.

Thanks mladen.

I'll try to do.

Do not know where I can find the function of the Sortino Ratio?

As always, many thanks for your help.

A big hug.

Hermo.

myname
3232
myname  

Here is one link to sortino explained - maybe helps : Wilmott Forums - Sortino Ratio - Excel formula

Harrymon12
10
Harrymon12  
Check this post out
https://marketxls.com/calculate-sharpe-ratio-of-portfolio-in-excel/
whroeder1
17944
whroeder1  

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