2
votes
1answer
50 views

Bootstrapping Sharpe Ratios

A similar question to this was asked here: How do i test the significance of Sharpe ratio of a strategy using bootstrap I have bootstrapped the original time series (using block bootstrapping) and ...
3
votes
2answers
566 views

How do I calculate Sharpe ratio from P&L?

Say I have a market-making strategy that trades intraday. I start with a flat position and finish flat too. I end up with a daily P&L $p_{today}$. Over a year of trading I get $\vec{p} = ...