I new to system trading, I looked through all my trading books but no answer. How to compute the sharpe of 2 systems put together? add the 2 sharpe's together, or do you put all the trades from 2 systems together and figure the sharpe from the total data? Any help appreciated.
yes funny and stupid here. keifer mistake verb in sentence one. IMHO no other way than equity curve one and equity curve two aside. then mean of daily percentage changes of both systems. now sharpe ratio on combined curve. is in excel or alikes. additional sharpe more and more difficult.