Sharpe Ratio Reported in Backtesting report is incorrect

[demarcog]

The formula for sharpe ratio is:

(Annualized Rate of Return - Risk free return) / Annualized Standard Deviations of Return

The value reported in the backtester report for Sharpe Ratio for intraday stratregies appears incorrect.

This doesn't seem to be an overly complex calculation .

It is also an industry standard for strategy performance and perhaps the MOST important figure on the back test report as far a many are concerned.

To find out from a client that the number I've been gving to them and dozens of others based on an eSignal report is not even close is really unfortunate.

Thanks,

Glen

[eSignal_JasonK]

Hello Glen,

The first thing you should check is what your interest rate is set to in the Strategy Analyzer settings. I think it is 0 by default, which would be the most likely cause of a difference in the calculation between you and your client. If that number is the same as your client, verify that your clients annualized return of the asset and standard deviation calculations are based on the same set of data that you've ran your back test on.

[demarcog]

Originally posted by eSignal_JasonK
Hello Glen,

The first thing you should check is what your interest rate is set to in the Strategy Analyzer settings. I think it is 0 by default, which would be the most likely cause of a difference in the calculation between you and your client. If that number is the same as your client, verify that your clients annualized return of the asset and standard deviation calculations are based on the same set of data that you've ran your back test on.

Hi Jason,

Great to hear from you, hope all is well.

I have the interest rate set to 3. I gave him the backtesting report so the figures should be the same.

It looks like perhaps when the back test is intraday not encompassing a full year (120 days) the figures appear incorrect. When running a test on daily charts encompassing more then a year the figure appears correctl.


Thanks again for you help.

Glen