calculate sharpe ratio for intraday trading

Discussion in 'Risk Management' started by Mtrader, Mar 16, 2013.

  1. gmst

    gmst

    This is expected :)

    Takes some time to believe it. As another poster said, Sortino doesn't penalize upside volatility.
     
    #11     Mar 18, 2013
  2. Mtrader

    Mtrader

    So I was a good student. :)
     
    #12     Mar 18, 2013
  3. southall

    southall


    Yes, you can calculate profit factor on a trade basis, daily basis, or monthly basis.

    I look at in on daily basis. Anything over 3 is really good.
     
    #13     Mar 18, 2013