Sharpe Ratio not Ok in SQX

Hi,

I'm comparing any strategy created in SQ3 has Sharpe Ratios between 0,18 - 0,24 (depending on the strat of course). Same strategy in SQX gives me Sharpe Ratios between 0,98 - 1,1. This measure is not Ok in SQX

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Votes +1
Project StrategyQuant X
Type Bug
Status Refused
Priority Normal

History

Enric

01.12.2018 17:36

Task created

I forgot to add. I'm Retesting so Sharpe Ratio is not Ok in Retest. I guess will happen the same in Build or Optimize areas

kainc301

16.01.2019 20:00

Voted for this task.

Mark Fric

18.01.2019 12:33

Status changed from New to Refused

I checked it. Sharpe ratio in SQ X is computed correctly. It is annualized Sharpe ratio.

Algorithm in SQ3 is different and it was not annualized, so you cannot directly compare these values. The one in SQ X is correct.

Votes: +1