I have an intraday trading strategy so I take several positions each day. I have prices for each stock, with a 10 second resolution. So the data looks like this:
09:00:00 $100 09:00:10 $101 09:00:20 $99 09:00:30 $97 ...
So I can calculate the return for each 10s interval. Then I sum the returns up, to get the total return for that day. My question is: how do I get annualized Sharpe ratio from these 10s returns?
Right now I am experimenting with one days worth of data. At the end of the day, I get a return of 183% (just experimenting with some random data and random trades). If I annualise my returns by multiplying with sqrt(252) I get a Sharpe of 0.76. That does not sound right? If I get a daily return of 183% then the annualized Sharpe should be much higher than 0.76? So what I am doing wrong? I am following this: How to calculate Sharpe Ratio from $ returns?