# Re: How to compute Sharpe ratio for a high frequency multi-asset long/short strategy

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#2046
haksunli
Keymaster

Thank you Kevin for the ingenious insight.

If I understand you correct, to implement the SR computation, we need to keep track of a running capital $$V_t$$. Then, we compute the return $$R_t$$ at some predetermined time points.

A few question –
1.
Where does the $$3.67$$ in your discussion come from? Sorry I couldn’t figure it out…  :-[

2.
How should we compute the SR for a basket? E.g., we trade a pair of $$Z = X – alpha Y$$. Suppose X and Y are traded at different times, as in Ken’s example. So we can compute $$SR_X$$ and $$SR_Y$$, how do we “combine” them somehow to compute $$SR_Z$$? Or, do we compute $$SR_Z$$ directly without computing for the individual assets separately?