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Compute probabilistic Sharpe ratio on excess returns #9583

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3f6521b
Use risk-free rate in probabilistic Sharpe ratio
Jun 23, 2026
d435671
Extend risk free rate to live report PSR and fix probabilistic sharpe…
JosueNina Jul 2, 2026
a211d06
Update regression statistics
JosueNina Jul 2, 2026
b96fb79
Update test regression statistics
JosueNina Jul 2, 2026
d47b420
Add test asserting Sharpe ratio and PSR consistency
JosueNina Jul 2, 2026
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs
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Expand Up @@ -100,7 +100,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "-0.172%"},
{"Sharpe Ratio", "-11.13"},
{"Sortino Ratio", "-16.704"},
{"Probabilistic Sharpe Ratio", "12.075%"},
{"Probabilistic Sharpe Ratio", "10.330%"},
{"Loss Rate", "78%"},
{"Win Rate", "22%"},
{"Profit-Loss Ratio", "0.87"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddAlphaModelAlgorithm.cs
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Expand Up @@ -136,7 +136,7 @@ public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
{"Net Profit", "1.442%"},
{"Sharpe Ratio", "4.836"},
{"Sortino Ratio", "10.481"},
{"Probabilistic Sharpe Ratio", "59.497%"},
{"Probabilistic Sharpe Ratio", "59.374%"},
{"Loss Rate", "33%"},
{"Win Rate", "67%"},
{"Profit-Loss Ratio", "3.17"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs
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Expand Up @@ -130,7 +130,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "2.710%"},
{"Sharpe Ratio", "-0.126"},
{"Sortino Ratio", "-0.112"},
{"Probabilistic Sharpe Ratio", "39.260%"},
{"Probabilistic Sharpe Ratio", "2.398%"},
{"Loss Rate", "90%"},
{"Win Rate", "10%"},
{"Profit-Loss Ratio", "17.14"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs
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Expand Up @@ -130,7 +130,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "0.289%"},
{"Sharpe Ratio", "3.924"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "68.349%"},
{"Probabilistic Sharpe Ratio", "66.659%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs
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Expand Up @@ -143,7 +143,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
{"Net Profit", "-0.196%"},
{"Sharpe Ratio", "-7.95"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "1.216%"},
{"Probabilistic Sharpe Ratio", "0.401%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
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Expand Up @@ -192,7 +192,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "5.333%"},
{"Sharpe Ratio", "64.084"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "95.977%"},
{"Probabilistic Sharpe Ratio", "95.688%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion ...thm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
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Expand Up @@ -248,7 +248,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "2.313%"},
{"Sharpe Ratio", "17.721"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "95.977%"},
{"Probabilistic Sharpe Ratio", "95.297%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs
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Expand Up @@ -145,7 +145,7 @@ public override void OnData(Slice slice)
{"Net Profit", "-0.392%"},
{"Sharpe Ratio", "-5.487"},
{"Sortino Ratio", "-2.607"},
{"Probabilistic Sharpe Ratio", "0.016%"},
{"Probabilistic Sharpe Ratio", "0.000%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "0.90"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs
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Expand Up @@ -197,7 +197,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "-0.232%"},
{"Sharpe Ratio", "-8.903"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "1.216%"},
{"Probabilistic Sharpe Ratio", "0.024%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs
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Expand Up @@ -111,7 +111,7 @@ public override void OnData(Slice slice)
{"Net Profit", "1.754%"},
{"Sharpe Ratio", "11.954"},
{"Sortino Ratio", "29.606"},
{"Probabilistic Sharpe Ratio", "74.160%"},
{"Probabilistic Sharpe Ratio", "73.973%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs
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Expand Up @@ -138,7 +138,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "1.776%"},
{"Sharpe Ratio", "12.966"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "80.409%"},
{"Probabilistic Sharpe Ratio", "80.179%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddRiskManagementAlgorithm.cs
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Expand Up @@ -90,7 +90,7 @@ public override void Initialize()
{"Net Profit", "1.775%"},
{"Sharpe Ratio", "9.34"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "68.302%"},
{"Probabilistic Sharpe Ratio", "68.153%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs
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Expand Up @@ -120,7 +120,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "-5.957%"},
{"Sharpe Ratio", "-3.345"},
{"Sortino Ratio", "-3.766"},
{"Probabilistic Sharpe Ratio", "4.557%"},
{"Probabilistic Sharpe Ratio", "4.444%"},
{"Loss Rate", "89%"},
{"Win Rate", "11%"},
{"Profit-Loss Ratio", "0.70"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs
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Expand Up @@ -104,7 +104,7 @@ public override void OnData(Slice slice)
{"Net Profit", "0.071%"},
{"Sharpe Ratio", "-9.164"},
{"Sortino Ratio", "-9.852"},
{"Probabilistic Sharpe Ratio", "36.417%"},
{"Probabilistic Sharpe Ratio", "0%"},
{"Loss Rate", "27%"},
{"Win Rate", "73%"},
{"Profit-Loss Ratio", "4.41"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs
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Expand Up @@ -136,7 +136,7 @@ protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint>
{"Net Profit", "1.692%"},
{"Sharpe Ratio", "8.854"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "67.609%"},
{"Probabilistic Sharpe Ratio", "67.459%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs
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Expand Up @@ -324,7 +324,7 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order)
{"Net Profit", "1.082%"},
{"Sharpe Ratio", "12.594"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "95.977%"},
{"Probabilistic Sharpe Ratio", "95.481%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateAlgorithm.cs
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Expand Up @@ -103,7 +103,7 @@ public override void OnData(Slice slice)
{"Net Profit", "1.692%"},
{"Sharpe Ratio", "8.854"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "67.609%"},
{"Probabilistic Sharpe Ratio", "67.459%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs
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Expand Up @@ -97,7 +97,7 @@ public override void OnData(Slice slice)
{"Net Profit", "0.423%"},
{"Sharpe Ratio", "5.498"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "67.498%"},
{"Probabilistic Sharpe Ratio", "66.898%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs
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Expand Up @@ -150,7 +150,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
{"Net Profit", "5.404%"},
{"Sharpe Ratio", "1.531"},
{"Sortino Ratio", "2.106"},
{"Probabilistic Sharpe Ratio", "82.864%"},
{"Probabilistic Sharpe Ratio", "74.321%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "6.64"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs
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Expand Up @@ -161,7 +161,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
{"Net Profit", "6.741%"},
{"Sharpe Ratio", "2.003"},
{"Sortino Ratio", "2.845"},
{"Probabilistic Sharpe Ratio", "92.590%"},
{"Probabilistic Sharpe Ratio", "87.787%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs
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Expand Up @@ -94,7 +94,7 @@ public override void OnData(Slice slice)
{"Net Profit", "4.486%"},
{"Sharpe Ratio", "17.304"},
{"Sortino Ratio", "35.217"},
{"Probabilistic Sharpe Ratio", "96.835%"},
{"Probabilistic Sharpe Ratio", "96.710%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs
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Expand Up @@ -218,7 +218,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "-0.115%"},
{"Sharpe Ratio", "-34.455"},
{"Sortino Ratio", "-57.336"},
{"Probabilistic Sharpe Ratio", "0.002%"},
{"Probabilistic Sharpe Ratio", "0%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
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Expand Up @@ -115,7 +115,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "1.655%"},
{"Sharpe Ratio", "8.472"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "66.840%"},
{"Probabilistic Sharpe Ratio", "66.693%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs
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Expand Up @@ -204,7 +204,7 @@ public void Dispose()
{"Net Profit", "0.134%"},
{"Sharpe Ratio", "-0.494"},
{"Sortino Ratio", "-0.544"},
{"Probabilistic Sharpe Ratio", "55.093%"},
{"Probabilistic Sharpe Ratio", "23.043%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs
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Expand Up @@ -155,7 +155,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
{"Net Profit", "-0.253%"},
{"Sharpe Ratio", "-5.753"},
{"Sortino Ratio", "-1.032"},
{"Probabilistic Sharpe Ratio", "0.001%"},
{"Probabilistic Sharpe Ratio", "0.000%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "0.48"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs
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Expand Up @@ -59,7 +59,7 @@ public class BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm : BasicTem
{"Net Profit", "-3.314%"},
{"Sharpe Ratio", "-6.359"},
{"Sortino Ratio", "-11.237"},
{"Probabilistic Sharpe Ratio", "9.333%"},
{"Probabilistic Sharpe Ratio", "9.257%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs
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Expand Up @@ -54,7 +54,7 @@ public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgo
{"Net Profit", "0.298%"},
{"Sharpe Ratio", "-0.872"},
{"Sortino Ratio", "-0.342"},
{"Probabilistic Sharpe Ratio", "21.709%"},
{"Probabilistic Sharpe Ratio", "6.244%"},
{"Loss Rate", "53%"},
{"Win Rate", "47%"},
{"Profit-Loss Ratio", "1.59"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs
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Expand Up @@ -54,7 +54,7 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat
{"Net Profit", "-0.253%"},
{"Sharpe Ratio", "-5.753"},
{"Sortino Ratio", "-1.032"},
{"Probabilistic Sharpe Ratio", "0.001%"},
{"Probabilistic Sharpe Ratio", "0.000%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "0.48"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs
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Expand Up @@ -59,7 +59,7 @@ public class BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm : BasicTempla
{"Net Profit", "-0.172%"},
{"Sharpe Ratio", "-1.251"},
{"Sortino Ratio", "-0.548"},
{"Probabilistic Sharpe Ratio", "10.891%"},
{"Probabilistic Sharpe Ratio", "2.934%"},
{"Loss Rate", "65%"},
{"Win Rate", "35%"},
{"Profit-Loss Ratio", "1.61"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs
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Expand Up @@ -103,7 +103,7 @@ public override void OnData(Slice slice)
{"Net Profit", "1.529%"},
{"Sharpe Ratio", "8.855"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "67.609%"},
{"Probabilistic Sharpe Ratio", "67.459%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs
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Expand Up @@ -155,7 +155,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "6.440%"},
{"Sharpe Ratio", "-4.563"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "0.781%"},
{"Probabilistic Sharpe Ratio", "0.604%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs
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Expand Up @@ -134,7 +134,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "8.460%"},
{"Sharpe Ratio", "9.923"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "93.682%"},
{"Probabilistic Sharpe Ratio", "93.605%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs
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Expand Up @@ -51,7 +51,7 @@ public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorith
{"Net Profit", "-0.800%"},
{"Sharpe Ratio", "-5.01"},
{"Sortino Ratio", "-2.603"},
{"Probabilistic Sharpe Ratio", "0.030%"},
{"Probabilistic Sharpe Ratio", "0.018%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
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Expand Up @@ -95,7 +95,7 @@ public override void OnData(Slice slice)
{"Net Profit", "-0.008%"},
{"Sharpe Ratio", "-19.865"},
{"Sortino Ratio", "-175397.15"},
{"Probabilistic Sharpe Ratio", "0.013%"},
{"Probabilistic Sharpe Ratio", "0.000%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs
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Expand Up @@ -66,7 +66,7 @@ public class BasicTemplateIndexOptionsHourlyAlgorithm : BasicTemplateIndexOption
{"Net Profit", "0%"},
{"Sharpe Ratio", "-121.988"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "36.504%"},
{"Probabilistic Sharpe Ratio", "0.162%"},
{"Loss Rate", "88%"},
{"Win Rate", "12%"},
{"Profit-Loss Ratio", "7.00"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs
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Expand Up @@ -113,7 +113,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "-0.008%"},
{"Sharpe Ratio", "-497.389"},
{"Sortino Ratio", "-73.22"},
{"Probabilistic Sharpe Ratio", "0.001%"},
{"Probabilistic Sharpe Ratio", "0.794%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs
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Expand Up @@ -150,7 +150,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "-1.156%"},
{"Sharpe Ratio", "-4.04"},
{"Sortino Ratio", "-2.422"},
{"Probabilistic Sharpe Ratio", "0.099%"},
{"Probabilistic Sharpe Ratio", "0.008%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs
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Expand Up @@ -127,7 +127,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "1.100%"},
{"Sharpe Ratio", "12.688"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "95.977%"},
{"Probabilistic Sharpe Ratio", "95.488%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs
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Expand Up @@ -167,7 +167,7 @@ public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorith
{"Net Profit", "-0.850%"},
{"Sharpe Ratio", "-4.298"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "15.319%"},
{"Probabilistic Sharpe Ratio", "14.867%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0.43"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
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Expand Up @@ -131,7 +131,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "0.288%"},
{"Sharpe Ratio", "-3.925"},
{"Sortino Ratio", "-9.873"},
{"Probabilistic Sharpe Ratio", "28.473%"},
{"Probabilistic Sharpe Ratio", "28.244%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "26.06"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs
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Expand Up @@ -137,7 +137,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Net Profit", "0.612%"},
{"Sharpe Ratio", "-0.533"},
{"Sortino Ratio", "-2.937"},
{"Probabilistic Sharpe Ratio", "43.837%"},
{"Probabilistic Sharpe Ratio", "43.543%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "59.94"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs
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Expand Up @@ -74,7 +74,7 @@ public override void OnEndOfAlgorithm()
{"Net Profit", "6.434%"},
{"Sharpe Ratio", "-4.563"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "0.781%"},
{"Probabilistic Sharpe Ratio", "0.604%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "1356.34"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs
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Expand Up @@ -104,7 +104,7 @@ public IEnumerable<Symbol> CoarseSelector(IEnumerable<CoarseFundamental> coarse)
{"Net Profit", "0.739%"},
{"Sharpe Ratio", "4.46"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "60.106%"},
{"Probabilistic Sharpe Ratio", "59.897%"},
{"Loss Rate", "80%"},
{"Win Rate", "20%"},
{"Profit-Loss Ratio", "0.02"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs
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Expand Up @@ -143,7 +143,7 @@ public void HandleRenko7Bar(RenkoBar data)
{"Net Profit", "7.839%"},
{"Sharpe Ratio", "0.692"},
{"Sortino Ratio", "0.636"},
{"Probabilistic Sharpe Ratio", "39.336%"},
{"Probabilistic Sharpe Ratio", "34.456%"},
{"Loss Rate", "43%"},
{"Win Rate", "57%"},
{"Profit-Loss Ratio", "1.24"},
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