Article/Author: Origin: http://www.traders2traders.com. E-mail: Bob Fulks

Download: Sharpdmo.ela

File Includes:
Function - LastBarOnChart
Function - LastCalcDate
Function - LastCalcTime
Function - Sharpe Demo
Signal - Sharpe Demo
Strategy - Sharpe Demo

Category: Strategy > Sharpe Demo

Description:

Sample usage of the SharpeRatio function for futures trading. The InitValue variable should be equal to the total equity controlled, not the margin balance in the account.

Inputs:

NoOfCont - Number of contracts to trade
PrMode - Print mode

EasyLanguage Code:

INPUTS: 	NOOFCONT(2), 		{NUMBER OF CONTRACTS TO TRADE}

			PRMODE(0);			{PRINT MODE}



VARS: 	INITVALUE(0), 		{INITIAL VALUE OF TRADING ACCOUNT}

			NETVALUE(0),		{VALUE OF TRADING ACCOUNT OVER TIME}

			SHARPE(0);			{SHARPE RATIO}



{ESTABLISH VALUE FOR INITIAL ACCOUNT VALUE} 

IF CURRENTBAR = 1 THEN 

	INITVALUE = CLOSE * BIGPOINTVALUE * NOOFCONT;



{SIMPLE TRADING SYSTEM}

IF CLOSE > CLOSE[1] THEN BUY  NOOFCONT CONTRACTS NEXT BAR AT MARKET;

IF CLOSE < CLOSE[1] THEN EXITLONG NEXT BAR AT MARKET;



{CALCULATE SHARPE RATIO - USING MONTHLY SAMPLES}

NETVALUE = INITVALUE + NETPROFIT;

SHARPE = SHARPERATIO(4, NETVALUE, 0, PRMODE, TRUE);