Posted Sunday March 20 2011

Hi,
I am trying to extend the System Results to include the rolling Sharpe's ratio values. I do not need them graphed, I only need to get the list of all values of Sharpe's ratio during the system execution. The current result only produces the final ratio at the end. I am interested in recording the value either every time it changes (if some generalized event hook is possible) or every time I close any position. I am not sure how to do this, though. Also, must this be integrated as part of the system or is there a way I can make it a generalized plugin, so that systems are not aware of the extra work and when I run them I just get he the list of values in the System Results?
Thanks you.

Posted Tuesday March 29 2011

The current Sharpe Ratio plugin only runs at the end of a simulation, so you would have to implement the calculation yourself in your trading system logic.
Thanks, Daniel

Posted Tuesday March 29 2011

Thanks for the reply. I did do that it was somewhat quickhackish, but I just wanted it to check the usability. As it turns out it is useless, as Sharpe Ratio doesn't change in any significant way over the time windows I care about. Live and learn
