Sharpe Ratio

[cfree5119]

What is risk free rate used in the sharpe ratio calculated on a given strategy performance?

[NinjaTrader_RyanM1]

Hello cfree5119,

NinjaTrader presets "risk free Rate of Return" to a value of zero. More information is available here on statistical definitions page.

http://www.ninjatrader.com/support/helpGuides/nt7/statistics_definitions.htm

[cfree5119]

How do I go about changing it? Thank you.

[NinjaTrader_RyanM1]

In the GUI it will always be set to 0. However you can access sharpe ratio based on a custom risk free rate of return with method GetSharpeRatio()

http://www.ninjatrader.com/support/helpGuides/nt7/getsharperatio.htm

[cfree5119]

So there is not way to change the risk free rate of return?

[NinjaTrader_Bertrand]

This would only be possible if you use the GetSharpeRatio() method Ryan mentioned. Then the Risk free rate of return could be entered as double value, for example the TBond yield is often used.