Sharpe Ratio

[werido]

I have never gotten a Sharpe Ratio result greater than 1.0 and that is the default result for time periods 1 month and less (and even a bit more than a month). So my question is, is it possible to get Sharpe Ratios in NT greater than a value of 1.0?
In regular sharpe ratio calculations, values of greater than 1 are totally common and perhaps even expected, so is NT using a different sharpe ratio calculation than usual? Is 1.0 the best result you can get on NT Strategy Analyzer?

[NinjaTrader_Jason]

Hello werido,

Please note that Sharpe ratio will be set to a value of 1, if there is only one month of trade history or less (insufficient data to calculate the monthly deviation of profits). See the link below under 'Understanding Sharpe Ratio'.

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

Do you see a different value if you include more historical data so there is at least one month of trade history. Try two months of historical data and check if you see a difference.

[werido]

Yes, of course, I get different values, but they are all less than 1. My question is, is there ever a sharpe ratio result in NT that is greater than 1?

[NinjaTrader_Jason]

Yes, you can have Sharpe ratio values greater than 1 in the Strategy Analyzer.