Also would like to request a feature: a Exit on Weekend option so you can stay in trades overnight but shore up positions over the weekend.
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NinjaTrader
Ranking by Sharp Ratio?
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Ranking by Sharp Ratio?
Is there a way to rank results from the optimizer by sharp ratio. Also how is the profit factor calculated?
Also would like to request a feature: a Exit on Weekend option so you can stay in trades overnight but shore up positions over the weekend.Tags: None
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Unfortunately you cannot sort by Sharpe ratio. This is how profit factor is calculated: http://www.ninjatrader-support.com/H...fitFactor.html
Thank you for the suggestion.Josh P.NinjaTrader Customer Service
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Hello My friends,
This post is pretty old and the link is expired. I would like to know how the Profit Factor is calculated.
If PF is below 1, it means the strategy has egative realized performance?
Thanks
Marcio
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Hello Marcio,
Thanks for your post.
Correct, from the help guide: "A ratio less than one indicates your strategy loses more money than it earns."
The formula is shown as Gross Profit / Gross Loss.
Please see, "Understanding Profit Factor" on this page: https://ninjatrader.com/support/help...efinitions.htmPaul H.NinjaTrader Customer Service
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Hi Paul,
Thank you for replying.
I got some ProfitFactor = 99 after the first trade of the day. I am sure NT is using daily cycles for Gross Profit and Loss, so is there any "if" in the function script when Gross Loss equals zero?
Best,
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