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RiskFreeRateSym

 

 

 

 

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Settings

Description

Symbol of an imported data series to store in the test statistics for later use when calculating Sharpe or other stats that require this.

Notes

The daily closing values of this data series are stored in S.RiskFreeRate when a test is run.

This in turn is used in the calculation of Sharpe Ratio in the default Results.rts formula:

For this to work correctly the data must be a rate series, e.g. close=5 means 5%, as in the Norgate symbols %FFYE or %3MTCM.

Since this setting is always simply one symbol, it should not be preceded by a $ as is normally done to reference a symbol within a formula.

The referenced symbol must also have been added to the Import of the current data file.

 

 

 

 

 

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