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Results tagged with sharpe-ratio
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user 2257
Excess return per unit of deviation in return.
5
votes
4
answers
2k
views
Sharpe ratio in days with no open positions
Should I include or not the days a strategy has no open positions (thus no returns) in the Sharpe ratio calculation?
- 1,210
7
votes
2
answers
3k
views
How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
I have a pair trading strategy with positions that last 3-5 days and trades 2-3 times a month. By design, all the trades are profitable until the cointegration is broken.
Should I calculate the Sharp …
- 1,210