Annualized sharpe ratio

2 vues (au cours des 30 derniers jours)

Trader le 12 Avr 2012

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!

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