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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: 46
StefanCGN Offline OP
StefanCGN  Offline OP

Joined: Jul 2019
Posts: 46
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: 878
Spirit Offline

Spirit  Offline


Joined: Sep 2003
Posts: 878
SR of trading systems have no risk free rate.

Moderated by  Petra 

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