How NT calculate the Sharpe Ratio?

[freewind]

Hi,

How NT calculate the Sharpe Ratio?

For example I have a strategy that trades ES futures.
The strategy made in 2 years 120 trades. Each trade has its $ profit or loss and I can have Standard deviation of it. How the calculation is made in NT?

[NinjaTrader_AdamP]

freewind,

It should be the standard calculation as this is an industry standard.

http://en.wikipedia.org/wiki/Sharpe_ratio

[Moody1337]

Which risk-free rate do you use?

It's an issue in that the Sharpe Ratio number is meaningless unless you know the risk-free rate. However if you're just comparing two different strategies it's not that big of a deal.

[NinjaTrader_AdamP]

Moody,

I'd imagine it would be the rate of return on shortest dated T-bills but I am not absolutely positive. I would have to ask someone in development about that since it could be something else calculated internally.

Ill get back to you. Thanks for your patience.

[NinjaTrader_AdamP]

Moody,

Apparently the risk-free rate is set to 0.

Please let me know if I may assist further.

[Moody1337]

Thanks for the heads up!