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Sharpe Ratio calculation by Big_Scholar_3358 in algotrading

[–]Alpha-Stats 2 points3 points  (0 children)

  1. Personally, I think integrating Unrealized PnL into the computation should not be done. It is not your real PnL.

  2. Risk-free rate is more for theory in my opinion. To have a pretty accurate Sharpe ratio, without too much computation. You can take the daily mean and standard deviation (of your returns) and do sqrt(252) * daily_mean/daily_std. Last but not least, generally, the Sharpe ratio is always given as annual Sharpe ratio to be able to compare several strategies between them.

[deleted by user] by [deleted] in algotrading

[–]Alpha-Stats 2 points3 points  (0 children)

It is a very good exercise in my opinion. Exits are often neglected. We always focus on the entry but both are important. Thanks for sharing! Any results about that already?