It is calculated this way:
S(x) = (rx-Rf)/StdDev(x)
x = investment
rx= ave. rate of return of x
StdDev (x) = standard deviation of rx
Robopip uses the Sharpe ratio to measure the risk tolerance of a system.
It helps him solve for the additional compensation above a certain level that the system should yield for each additional unit of risk. Basically, the higher the ratio, the better the system is.« Back to Forexpedia Index