Aha, i think i see where i messed up. I calculated the sharpe ratio based on the return of every day instead of every trade. Or does this works as well? If so i can upload these numbers. If not i have to get the exact numbers in a file.
Ok, so here are the daily returns for the last 10 months. In the top row (9,10,11 etc are the months) below are the returns every day including rt commission. Highlighted in yellow are average daily returns for the month [Image removed at OP's request]
These figures look like daily P&L. The Sharpe ratio uses daily returns. Daily return is defined as: R(day) = (A(day) - A(day-1)) / A(day-1) where A(day) is the account value on a given day A(day-1) is the account value on a previous day Another thing: what's with the $1121.75 daily loss? Why does this exact loss occur with such high frequency?
Why don't you propose your system to some ALGO developers? If you're system is really strong I'm sure they'll be glad to partner up with you and share profits.
I would be happy to look at it in this regard. We have execution, colocation, funding, and unbeatable commissions if you can prove your strategy.