According to http://en.wikipedia.org/wiki/Sharpe_ratio there is a component of benchmark (comparison) - which data to use for a backtest system? What do NinjaTrader or MultiCharts use there? http://www.investopedia.com/terms/s/sharperatio.asp also has expected portfolio return Reason: We have / build our own internal platform, and one of the guys got the glorius idea to include standard strat ratings there. Nice idea - I am nearly done with the NinjaTrader 7 strat sheet (that one with all the numbers in a grid in strategy analyzer). The Sharpe Ratio, though, is a problem as I can not wrap my head around how to make it. I simply have no measure for the "risk free return". My best idea would be to put in some fake number (3% per year, based on the assumption that a conservative portfolio in retirement planning is assumed to carry a 4% withdrawal). Or anyone has an idea how that is calculated in such programs?