Thread: Sharpe Ratio

I'm having trouble with this Sharpe Ratio thing.

In NinjaTrader, it spits out the Sharpe Ratio for every backtest or optimization run, and so far the value for my strategy are always about 0.10 or below.

Have you considered your drawdown in relation to account size?

Account size should be irrelevant to the Sharpe Ratio, surely?

What's your question?

The low values that you get mean that your system does not profit from clever timing of the market but by assuming excess risk. This further means that it may at some point in the future generate even greater drawdown.