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

Viewing 1 post (of 1 total)
  • Author
    Posts
  • #1869
    hessinemaaoui
    Keymaster

    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?

Viewing 1 post (of 1 total)
  • You must be logged in to reply to this topic.