In Zorro performance report, sharpe ratio is defined as "annualized ratio of mean and standard deviation of the bar returns when the system is in the market; Bar returns are bar profits divided by invested or required capital."

However, the actual definition does not depend on the invested capital, meaning if I risk 10% of $1000, or 1% of $10000, my sharpe ratio should be the same. This allows us to able to compare the risk-adjusted return of different strategies. But in Zorro, risking the same amount but with different Capital will result in different Sharpe ratio.

Last edited by vicknick; 05/29/23 06:33.