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Sharpe Ratio Code
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Sharpe Ratio Code

  #1 (permalink)
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Sharpe Ratio Code

Hi All,

Does any body have any sharpe ratio code for tradestation?

would be appreciated ,

thanks,

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  #2 (permalink)
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  #3 (permalink)
Tick Tick BOOM
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I'm not sure if it's exactly what you're looking for, but I found this:

Sharpe Ratio Indicators and Functions for Tradestation

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  #4 (permalink)
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thanks. but im loolking for the sharpe ratio that uses trades as input rather than the closing prices. Im sure somebody has the code somewhere.. any pointers ?

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  #5 (permalink)
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onava View Post
thanks. but im loolking for the sharpe ratio that uses trades as input rather than the closing prices. Im sure somebody has the code somewhere.. any pointers ?

Go look in the trade performance report, it is already calculated.

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  #6 (permalink)
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Bimi View Post
Go look in the trade performance report, it is already calculated.

i dont want the ratio as its usually wrong as it doesnt even ask for the risk free rate.. therefore, I would prefer to have my own code, which im sure someone must have

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  #7 (permalink)
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onava View Post
i dont want the ratio as its usually wrong as it doesnt even ask for the risk free rate.. therefore, I would prefer to have my own code, which im sure someone must have

how are you going to apply your correct sharpe ratio into ts?

do you plan to use it as an indicator?
you will need more than the formular, you will need a way of extracting the trades from ts into the indicator.
are you going to set up a database to track the trades? eg. a 3 dimensional array? or something similar?

you might as well extract the trades into excel and calculate it there.

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  #8 (permalink)
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Bimi View Post
how are you going to apply your correct sharpe ratio into ts?

do you plan to use it as an indicator?
you will need more than the formular, you will need a way of extracting the trades from ts into the indicator.
are you going to set up a database to track the trades? eg. a 3 dimensional array? or something similar?

you might as well extract the trades into excel and calculate it there.


no i want to do it in the platform.. i dont think i multi 3d array is needed as you could store the profits by index, but im not a big coder.. thats why im asking

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  #9 (permalink)
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onava View Post
no i want to do it in the platform.. i dont think i multi 3d array is needed as you could store the profits by index, but im not a big coder.. thats why im asking


The formula is the easy part. It is a 2 line thing you can get it off the internet anytime.
the majority of the work is in the trades: how do you extract them and how do you keep them in an array.
it can be done, all it takes is time. A lot of time.


Last edited by Bimi; December 4th, 2012 at 11:59 AM.
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  #10 (permalink)
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Bimi View Post
The formula is the easy part. It is a 2 line thing you can get it off the internet anytime.
the majority of the work is in the trades: how do you extract them and how do you keep them in an array.
it can be done, all it takes is time. A lot of time.

done it now..

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