Sharpe Ratio + Risk Free Rate

[cgeorgan]

Hi guys-

I see where I can programmatically find the SharpeRatio() - based on a risk free rate of 0% - as well as GetSharpeRatio(double x) where x is the provided ratio.

Any way to set this within a strategy, such as under Initialize(), so I can set whatever risk free rate I want?

[NinjaTrader_Bertrand]

cgeorgan, you could unfortunately not set this from Initialize(), however with the GetSharpeRatio() it would be set at the times you request the Performance class statistics for your strategy.

[Zeos6]

Hi cgeorgam,

You could always set iit as a private static member.

private static double riskFreeRate = 0.0;

If you need to change it then a static class will do the trick.
This of course assumes that you are not worrying about thread safety.

You can then modify it from within Initialize() if you wish.

P.S. If you are concerned about it residing in the global namespace, or in global memory, put it inside your own namespace.