Sharpe ratio, downside risk calculation

[arnold.horvath]

Dear Support !

1)
I am trying to understand the TradeCollection class, but I am having difficulties and I
am doing something wrong. Unfortunately I could not figure out the problem...

I added the following to a strategy :

protected override void OnTermination()
{
double sharpe= Performance.AllTrades.TradesPerformance.Percent.Av gProfit / Performance.AllTrades.TradesPerformance.Percent.St dDev;
Print("Calculated Sharpe "+sharpe+" Sharpe "+Performance.AllTrades.TradesPerformance.SharpeRa tio);
}

The result of my calculation differs form the built-in SharpeRatio.
What is wrong with my sharpe calculation ? How can I correct it ?

2)

I would also like to calculate the downside risk ( http://en.wikipedia.org/wiki/Downside_risk ).

I am not sure if the below statement is correct:
Performance.AllTrades.LosingTrades.TradesPerforman ce.Percent.StdDev

How can I calculate the downside risk ?

Thank you for the help,
Arnold

[NinjaTrader_JC]

Hello Arnold,

1. You would want to use the "Profit Per Month" as part of your calculations instead of "AvgProfit". For a formula to calculate Sharpe Ratio you may view our Help Guide at the following link.

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

2. As far as the "Downside Risk", I am not familiar with this but looking at the link that you posted it would have to be manually calculated. With that said, I will also forward this to our development team for consideration on the next major release.