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

Home 21090308 Forums Re: How to compute Sharpe ratio for a high frequency multi-asset long/short strategy

#2048
kenyiu
Participant

Thank you Kevin!

In the case of no scaling, the calculation of returns [tex]R_t[/tex] (and scale independence) basically assumes that there is no reinvestment involved, which is quite valid for common high frequency trading strategies.

Then, the implementation in Sharpe Ratio may not be sufficient in this case. Let me implement one that suits this situation.