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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 with only one trade per year, it's poor. If 200 trades/year then great!

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. Your standard deviation in this case is monthly.

forgot the attachment

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 done some research on this on my own. attached is a chart of the percentage of time the high and low of the day have occurred for the dax. i'm...

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 expected if it were random). Has anyone done any serious analysis of this phenomenon, i.e. quantitatively comparing it to random?

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, reliability of data is more important than lowest cost.