The Sharpe Ratio is defined as
Sharpe ratio = (Mean portfolio return − Risk-free rate)/Standard deviation of portfolio return.
Unfortunately, this does not make sense in the context of an HFT strategy. In order to calculate the return of a portfolio, you need to know the amount of capital deployed in an HFT strategy, which is not as straightforward as a portfolio of long/short stocks.
Should you calculate your return for an HFT strategy based on the margin posted for a specific strategy? Or is the inverse of the coefficient of variation
(AvgPnL / StdDev) the best we can hope for?