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Sharpe Ratio
em
Geral
Jan 24, 2018 at 08:50
the strategy has been doing on a real account about 2.5%monthly for the last 18months...strategy is pretty sound but it looks to me that the calculation is just based on the spread between the TP and STL ...not the percentage of winning trades
Sharpe Ratio
em
Geral
Jan 23, 2018 at 05:42
Just wondering if someone could explain me how the Sharpe ratio is calculated in myfxbook (what an incredible site!)....starting from this Sharpe ratio = (Mean portfolio return − Risk-free rate)/Standard deviation of portfolio returnI'm looking at one strategy (long/short combination of different fx pairs) with win % of 85%profit factor of 1.42Average win 35 pips and av loss -197.SR 0.01It sounds way too low.What am I doing wrong?
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