Optimizing with Sharpe ratio

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Optimizing with Sharpe ratio #459383 05/13/16 07:33 05/13/16 07:33
Joined: Jan 2015 Posts: 5 G Georgez OP Newbie
Georgez OP Newbie G Joined: Jan 2015 Posts: 5	How to use Sharpe ratio instead of profit factor in optimize? I read the manual about objective function but there is no Sharpe ratio in PERFORMANCE struct or in trade statistics parameters. Last edited by Georgez; 05/13/16 07:37.

Re: Optimizing with Sharpe ratio [Re: Georgez] #459390 05/14/16 09:37 05/14/16 09:37
Joined: Dec 2014 Posts: 206 Germany Smon Member
Smon Member Joined: Dec 2014 Posts: 206 Germany	I have the same question.

Re: Optimizing with Sharpe ratio [Re: Smon] #459405 05/16/16 08:23 05/16/16 08:23
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	Code: var objective() { if(!NumWinTotal && !NumLossTotal) return 0.; PERFORMANCE Perf = &g->w; return Perf->vMean/Perf->vStdDev; }

Re: Optimizing with Sharpe ratio [Re: jcl] #459409 05/16/16 09:21 05/16/16 09:21
Joined: Jan 2015 Posts: 5 G Georgez OP Newbie
Georgez OP Newbie G Joined: Jan 2015 Posts: 5	Originally Posted By: jcl Code: var objective() { if(!NumWinTotal && !NumLossTotal) return 0.; PERFORMANCE Perf = &g->w; return Perf->vMean/Perf->vStdDev; } Thanks! it works. but the asterisk skipped Code: PERFORMANCE *Perf = &g->w; Last edited by Georgez; 05/16/16 09:22.

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