Annualized sharpe ratio
2 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Can anyone answer how to annualize a sharpe ratio if your working with 5 min data and within market hours?
does anyone disagree with sqrt(252*12*6.5)sharpe(r,0)? 252 trading days 12, 5 min periods per day 6.5 hours (9:30 to 4 EST)
Thanks for your help!
0 Kommentare
Antworten (0)
Siehe auch
Kategorien
Mehr zu Startup and Shutdown finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!