Strategy Analyzer Sharpe Ratio Incorrect?

[jaybedreamin]

Hi all,

According to the NinjaTrader Statistics Definitions docs here
https://ninjatrader.com/support/help...tics_definitio ns.htm

Sharpe Ratio is calculated as the following

(Profit per Month – risk free Rate of Return) / standard deviation of monthly profits


However, from my understanding, sharpe ratio is usually calculated using percentage returns, not raw profits. Also, isn't sharpe ratio usually annualized?

This lack of using % returns (even if the Summary format is set to 'Currency'), and not annualizing seems to lead to incorrect or unusually low sharpe ratios.

Anyone else experience this?

[NinjaTrader_Jesse]

Hello jaybedreamin,

In NinjaTrader the various metrics are described and calculated as described. If you are used to a different calculation unfortunately there is not a way to change the existing sharpe ratio. You can create a custom performance metric if you wanted to make a custom calculation that shows up in the performance results.