Sharpe Ratio always =1

[Santi]

I was optimizing a system that works in the first 2 months of the contracts (nowadays is operating in YM 12-08). When finishing I made a backtest with the same parameters for the last 4 YM contracts, and I realized that the sharpe ratio is always 1... is it a bug?

Other question... Some "Avg. Bars in Trade" data are "negative"... is it normal? (I notice this error since I use two time-lines).

Thanks!

[NinjaTrader_Dierk]

- please make sure you are on latest 6.5.1000.4
- could you please provide exact steps to reproduce your observations? Thanks

[Santi]

- please make sure you are on latest 6.5.1000.4
- could you please provide exact steps to reproduce your observations? Thanks

Ok... I check it and I already was on 6.5.1000.4

These are the steps I followed:

- I made a backtest on my system, and I realized that it works better on the first part of the contracts (about eight weeks):



Before I optimized for this first part, this were the results:



As you can see, the "Sharpe Ratios" look good...

Then I decided to optimize for the first 8 weeks, I only adjust one parameter, and made the backtest:




Notice that I use a main time-line "range-20"... and a second one "range-2" for some calculations.

And this are the results:



I´m doing first real time tests (simulated, of course), and it seems to be ok in the first days... but the Sharpe Ratio is very strange.

Thanks for your support!

[NinjaTrader_Dierk]

Thanks. Could you please mail me your (simple as possible) strategy to "dierk AT ninjatrader DOT com" to reproduce here?

[Santi]

Thanks. Could you please mail me your (simple as possible) strategy to "dierk AT ninjatrader DOT com" to reproduce here?

It won´t be necessary... you already answered my question here:

http://www.ninjatrader-support.com/vb/showthread.php?t=5941&highlight=sharpe+ratio

Thanks.