I'm currently creating a backtesting script and I've got to the point of calculating risk metrics.
It seems like the interval (daily, weekly, or monthly) I use for returns heavily changes the outputted Sharpe and Sortino ratios.
I have date for daily returns between
The risk-free rate I've used is
If this difference is to be expected, what's the gold-standard interval in the industry?
If this difference isn't expected, what errors may have occurred to cause it?
NB: The returns are extremely volatile and I'm guessing this may be the root cause.