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Risk free rate for Zorros sharp ratio calculation #479051
02/09/20 12:58 02/09/20 12:58
Joined: Jul 2019
Posts: 49
Köln
S
StefanCGN Offline OP
Newbie
StefanCGN  Offline OP
Newbie
S

Joined: Jul 2019
Posts: 49
Köln
Can anybody tell me what Zorros benchmark return for SR calculation is? As I am building my own statistics tool based on Matlab, using trades.csv, it would be interesting to compare....
Re: Risk free rate for Zorros sharp ratio calculation [Re: StefanCGN] #479060
02/11/20 11:37 02/11/20 11:37
Joined: Sep 2003
Posts: 929
Spirit Offline

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Spirit  Offline

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Joined: Sep 2003
Posts: 929
SR of trading systems have no risk free rate. https://manual.zorro-project.com/performance.htm.


Moderated by  Petra 
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