NT and Sharpe

[neb1998]

NT Help lists the sharpe as being computed each month. On an optimization run is the final sharpe # for each report the lowest sharpe reported over the year? Like 12 different sharpe #'s, 1 for each month and its the MIN of that period? Or is it the AVG?

I can export trades to matlab and figure it....

But my next question is there a performance value to report annualized sharpe or the sharpe of the entire sample - Are these available built in?

The other option is to code them up manually within a strategy or indicator....Maybe i have asked this 2nd part question before but for reference the first question is of importance at the moment.

Thanks!

BK

[NinjaTrader_Austin]

Hello there, I will have someone get back to you tomorrow.

[NinjaTrader_JoshP]

neb1998,

The calculation is done off the averaged profit per month and is calculated once at the end of the optimization/backtest. There is nothing to average in terms of Sharpe ratio because it is just a one time calculation. Since the basis of the calculation of the Sharpe ratio is already being run off of inherently averaged data, the ratio you get at the end can be thought of as an "average" as well.