Walk Forward Results

[Bmatarese]

Hi,

I am getting insanely high values for Sharpe and Sortino ratios on strategies run in the walk-forward optimizer, sometimes into the thousands. This happens with a few different strategies on a few different instruments and time frames. Why is it returning these absurd values and is there a way to avoid it?

Thanks

[NinjaTrader_ChrisL]

Hello Bmatarese, thanks for your post.

The Sharpe Ratio is based on the monthly profit, so this could be the underlying reason you are seeing these values. The equation we use is documented here:

https://ninjatrader.com/support/help...ingSharpeRatio

If you calculate it manually, you should come out to the same values the strategy analyzer is calculating.

Please let me know if I can assist any furher.