Sharpe Ratios, St. Deviation ETC.

Discussion in 'Technical Analysis' started by ocupashnltrader, Oct 31, 2006.

  1. Hey guys

    Anyone know the most efficient way to calculate the following for Proprietary trading of equities in a intraday basis. Mostly scalping and flat at the end of the day?

    Yearly Returns, corresponding Sharpe ratios, (max drawdown if possible), volatility and standard deviation.

    Any input would be appreciated

  2. Just log all your trades, or if you are doing too many intraday trades log your daily PnL, in Excel. Maybe there is a way to cut/paste your trade sheets (my systems autolog my trades).

    From there you can create any kind of stats and graphs you want. And you can create a sched D/1256 or whatever for taxes. Excel is extremely powerful once you get into it.

    It seems like a hassle at first, but I find it essential for proper trading.

    Good trading to all. :cool:
  3. wayne,

    Thanks For your reply. How would do it if you only had historical data and your data was limited to gross PNL, total intraday shares, total commission, and net PnL for lets say 1 trading month. Would this be possible without share price of each stock traded on each day you are calculating for. Sorry if these seem like ameteur questions, but this is all new for me since i was a scalper for a long time and didnt pay much attention to this sort of stuff.

    Thanks Again!
  4. I'm strictly a retail swing trader so I don't trade prop or scalp.

    Since with your prop buying power leverage, ROI or return on account doesn't make sense, I guess you would just get stats on absolute dollars gross/net, and maybe profit per trade - things like that.

    All depends on what you want stats on. Basically you are just looking to create a "time series" of data - like daily profit/loss. From there you could find things like drawdown and daily win/loss%.

    Hopefully a prop trader who does this kind of thing will stop by and give you a better idea of what you might try.
  5. Ya I guess absolute dollars is the the only way to go!

    Thanks again