ReferencesStrategyTradeCollectionTradesPerformance

RiskFreeReturn

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Definition

The risk free return used in calculations of Sharpe and Sortino ratios.

Property Value

A double value that represents the risk free return.

Syntax

\<tradecollection\>.TradesPerformance.RiskFreeReturn

Examples

protected override void OnBarUpdate()
{
     // Set a 3.5% risk free return
     SystemPerformance.AllTrades.TradesPerformance.RiskFreeReturn = 0.035;
     // Print out the Sharpe ratio of all trades based on a 3.5% risk free return
     Print("Sharpe ratio is: " + SystemPerformance.AllTrades.TradesPerformance.SharpeRatio);
}