SQRT(12) = 3.46
Alan, could you clarify where you get your numbers from? Looks like you may have plugged in +5% instead of -5%..
You need to multiply monthly STD by SQRT(12) = 3.46 So your annualized Sharpe in this case would be 0.70
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...
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....
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