Hi Dears.
I'd like to ask a question about how to caculate sharp ratio by myself? The formula which was gaven is sharp ratio= (MR-RFR)/SD. what's the MR mean? Does it mean Monthly Rate of Return in the strategy report? And what's the SD mean? SD mean standard deviation of which indicator?
It's better to give a calculate example for me .Thanks a lot for your help.
HELP!! caculate the sharp ratio by MC strategy report data?
Re: HELP!! caculate the sharp ratio by MC strategy report d
Thanks for your reply. I knew that strategy report has include sharp ratio . But I want to caculate myself. The formula is sharp ratio= (MR-RFR)/SD . I want to find out MR,RFR,SD's meanings and values in the strategy report.Sharpe ratio is already included in MultiCharts.Hi Dears.
I'd like to ask a question about how to caculate sharp ratio by myself? The formula which was gaven is sharp ratio= (MR-RFR)/SD. what's the MR mean? Does it mean Monthly Rate of Return in the strategy report? And what's the SD mean? SD mean standard deviation of which indicator?
It's better to give a calculate example for me .Thanks a lot for your help.
You can see your strategy's sharpe ratio in
View > Strategy Performance Report > Performance Ratoi
To learn the formula,
try wikipedia or investopedia
http://en.wikipedia.org/wiki/Sharpe_ratio
http://www.investopedia.com/terms/s/sha ... z1cWLoxu76
http://www.investopedia.com/articles/07 ... z1cWLoxu76
- Henry MultiСharts
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Re: HELP!! caculate the sharp ratio by MC strategy report d
The formula for the Sharpe ratio is SR = (MR - RFR) / SD, where:
MR is the average return for period (monthly),
RFR is the risk-free rate of return.
You set the RFR as Interest rate in the Properties tab of the Strategy Properties dialog box.
SD is the standard deviation of returns.
MR is the average return for period (monthly),
RFR is the risk-free rate of return.
You set the RFR as Interest rate in the Properties tab of the Strategy Properties dialog box.
SD is the standard deviation of returns.
Re: HELP!! caculate the sharp ratio by MC strategy report d
Henry,Thanks a lot. What does the "returns" exactly meaning? Does it mean the SD of profit(include loss) of each trade? Does it Caculate by amount? Or by percent? Could you give me an example to explain the "standard deviation of returns". Thank you very much.The formula for the Sharpe ratio is SR = (MR - RFR) / SD, where:
MR is the average return for period (monthly),
RFR is the risk-free rate of return.
You set the RFR as Interest rate in the Properties tab of the Strategy Properties dialog box.
SD is the standard deviation of returns.
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: HELP!! caculate the sharp ratio by MC strategy report d
Return - the gain or loss of a security in a particular period. The return consists of the income and the capital gains relative on an investment. It is usually quoted as a percentage.
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