Recent Content by harric

  1. STD and Sharpe Calculations

    SQRT(12) = 3.46
    Post by: harric, Jan 28, 2013 in forum: Risk Management

  2. Calculating Standard Deviation and Sharpe Ratio

    Alan, could you clarify where you get your numbers from? Looks like you may have plugged in +5% instead of -5%..
    Post by: harric, Jan 27, 2013 in forum: Stocks

  3. STD and Sharpe Calculations

    You need to multiply monthly STD by SQRT(12) = 3.46 So your annualized Sharpe in this case would be 0.70
    Post by: harric, Jan 27, 2013 in forum: Risk Management

  4. What is your win/rate and profit factor?

    I presume you mean profit factor on a per trade basis? If so, the number of trades per year is very important. If you are getting those stats...
    Post by: harric, Jan 25, 2013 in forum: Automated Trading

  5. STD and Sharpe Calculations

    1. 4.08% 2. 2.43 Be aware that typically you would use annualized standard deviation if you are using annualized returns in the calculation....
    Post by: harric, Jan 25, 2013 in forum: Risk Management

  6. High/Low time of day

    forgot the attachment
    Post by: harric, Sep 10, 2011 in forum: Strategy Building

  7. High/Low time of day

    hi murray, thanks for your reply, but i'm afraid i don't really understand what you're getting at. can you explain it in simpler terms? i've...
    Post by: harric, Sep 10, 2011 in forum: Strategy Building

  8. High/Low time of day

    I often read about the start of trading each day being important in establishing a high and low for the whole day (more likely than would be...
    Thread by: harric, Aug 30, 2011, 9 replies, in forum: Strategy Building

  9. Best source of tick data

    Who is the best provider of historical tick data on futures across a range of markets and exchanges, also need ongoing updates. Happy to pay,...
    Thread by: harric, Aug 20, 2011, 5 replies, in forum: Data Sets and Feeds