Download: Sharpdmo.ela
File Includes:
Function - LastBarOnChart
Function - LastCalcDate
Function - LastCalcTime
Function - Sharpe Demo
Signal - Sharpe Demo
Strategy - Sharpe Demo
Category: Strategy > Sharpe Demo
Description:
Sample usage of the SharpeRatio function for futures trading. The InitValue variable should be equal to the total equity controlled, not the margin balance in the account.
Inputs:
NoOfCont - Number of contracts to trade
PrMode - Print mode
EasyLanguage Code:
INPUTS: NOOFCONT(2), {NUMBER OF CONTRACTS TO TRADE}
PRMODE(0); {PRINT MODE}
VARS: INITVALUE(0), {INITIAL VALUE OF TRADING ACCOUNT}
NETVALUE(0), {VALUE OF TRADING ACCOUNT OVER TIME}
SHARPE(0); {SHARPE RATIO}
{ESTABLISH VALUE FOR INITIAL ACCOUNT VALUE}
IF CURRENTBAR = 1 THEN
INITVALUE = CLOSE * BIGPOINTVALUE * NOOFCONT;
{SIMPLE TRADING SYSTEM}
IF CLOSE > CLOSE[1] THEN BUY NOOFCONT CONTRACTS NEXT BAR AT MARKET;
IF CLOSE < CLOSE[1] THEN EXITLONG NEXT BAR AT MARKET;
{CALCULATE SHARPE RATIO - USING MONTHLY SAMPLES}
NETVALUE = INITVALUE + NETPROFIT;
SHARPE = SHARPERATIO(4, NETVALUE, 0, PRMODE, TRUE);