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

Home 21090308 Forums Applications Trading Strategies (Algo Quant) How to compute Sharpe ratio for a high frequency multi-asset long/short strategy

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    kenyiu
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    What I have is only a set of trade executions from this strategy.
    The strategy starts with nothing but is able to borrow money or stocks (for short sell) when needed.
    How should I compute its returns, and hence the sharpe ratio?

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