about Sharpe Ratio
its formula is : [E(Rp)－Rf]/σp
I want to know how I can get the value of σp / Sharpe Ratio according to test report of MT4.
In addition, shall I know how much money at most have been used in historical back testing according to test report?
thank you !
The MT4 backtesting report does not contain enough information to calculate a Sharpe ratio. You would need day-end figures for account equity (or, if you are less fastidious, month-end figures).
If you have relatively few positions which are open overnight then you can use balance as an approximation for equity: i.e. use the trade list from the backtesting report to compile day-end figures for the account balance, and assume that the day-end equity is not significantly different.
The MT4 backtesting report does not contain enough information to calculate a Sharpe ratio. You would need day-end figures for account equity (or, if you are less fastidious, month-end figures).
If you have relatively few positions which are open overnight then you can use balance as an approximation for equity: i.e. use the trade list from the backtesting report to compile day-end figures for the account balance, and assume that the day-end equity is not significantly different.
Thank you
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its formula is : [E(Rp)－Rf]/σp
I want to know how I can get the value of σp / Sharpe Ratio according to test report of MT4.
In addition, shall I know how much money at most have been used in historical back testing according to test report?
thank you !