Hi,
the current sharpe ratio is based on monthly return. It is useful for short-term/day-trading systems. But for long-term systems which only buy and sell at the end of day and each instrument may only has 5-20 trades each year, monthly return sharpe ratio is not useful (most of cases the current sharpe ratio is <= 0.10 for long-term system). Annual return sharpe ratio is more appropriate for long-term strategy. Is it possible to add a setting option to let users select which sharpe ratio (monthly or annually) they want to use in configurations? Thanks!
Jing
the current sharpe ratio is based on monthly return. It is useful for short-term/day-trading systems. But for long-term systems which only buy and sell at the end of day and each instrument may only has 5-20 trades each year, monthly return sharpe ratio is not useful (most of cases the current sharpe ratio is <= 0.10 for long-term system). Annual return sharpe ratio is more appropriate for long-term strategy. Is it possible to add a setting option to let users select which sharpe ratio (monthly or annually) they want to use in configurations? Thanks!
Jing
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