Risk free rate for Zorros sharp ratio calculation

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

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