Risk free rate for Zorros sharp ratio calculation

Posted By: StefanCGN

Risk free rate for Zorros sharp ratio calculation - 02/09/20 12:58

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....
Posted By: Spirit

Re: Risk free rate for Zorros sharp ratio calculation - 02/11/20 11:37

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