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Can I use the Sharpe Ratio as an objective function in algorithmic trading?
I’m experimenting with custom loss functions for different trading rules and have come across a few articles citing success in directly using the (negative) Sharpe Ratio as a loss function, ...
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Simple Sharpe Ratio Question Related to Trading Strategy
Given a price vector $(p_1,p_2,...,p_n)$ for some stock, then the corresponding return at $k$th day is described by
$$
R_k = \frac{p_{k+1} - p_k}{p_k}
$$
On the other hand, let $W_k$ be wealth at day ...
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