Sharpe Ratio Modification - Annualized Daily Return

[pmorissette]

Hey,

Does anyone know how to change the way the Sharpe ratio is calculated? NinjaTrader seems to use monthly returns and I would prefer annualized daily returns (average/stdev*sqrt(252)). You can't actually change the code in the Type folder, so where can it be found???

Thanks

[NinjaTrader_Tim]

Hi pmorissette,

Unfortunately, you cannot change the coding for the Sharpe ratio.

You may want to consider coding your own, but unfortunately this is beyond the scope of what we can provide support for.

More info on Sharpe ratio used, at - http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?SharpeRatio