Sharpe ratio in Report

In the example runBackTest for RiskFreeRate=0 TotalReturn=0.22943, SharpeRatio=0.11415 and Volatility=0.0075013 are reported. I don't see how this SharpeRatio is calculated, would you please explain? Thanks

Answer 1

[William Rose]

@jorge cogno,

[edit: the 0 in the equation below is for the risk free rate]

"RiskFreeRate=0 TotalReturn=0.22943, SharpeRatio=0.11415 and Volatility=0.0075013"

For that example, the average return is 0.00085456.

So you do

(.00085456-0)/.0075013

ans = 0.1139

Pretty close, maybe some rounding issues.