I think the Sharpe Ratio calculation needs to be made on the sum of the realized and unrealized gains (not just the realized gains). The reason is that if you hold a position open over the end of a month, it is not counted in the Sharpe ratio number for the ending month. I just tested a system that occasionally does not sell an open position for several months, and the sharpe ratio was abnormally low, because some months then get treated as a 0 return, even though the account might be up 10% for the month (unrealized). In every other calculation I've seen, the Sharpe ratio counts unrealized gains.
I think I've mentioned this before, but I'd also like to see a yearly Sharpe Ratio number and both a yearly/monthly Sortino Ratio number.
I think I've mentioned this before, but I'd also like to see a yearly Sharpe Ratio number and both a yearly/monthly Sortino Ratio number.
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