Comments (3)
BruceYanghy
commented on May 18, 2024
sharpe ratio
It's annualize Sharpe Ratio. Calculating the Sharpe ratio using daily returns: the average of the daily returns is divided by the sampled standard deviation of the daily returns and that result is multiplied by the square root of 252–the typical number of trading days per year in the USA markets.
Also, in real life trading, you should use portfolio’s excess return = return of the portfolio - risk free rate
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ava6969
commented on May 18, 2024
Thank you very much, do you have any idea on how i could use this formula for minute data sets. should i still leave this as is
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JackWBoynton
commented on May 18, 2024
There will be a lot more volatility if using just intraday sharpe ratios, therefore in my opinion it would be best to leave as is.
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