Sanity check on sharpe ratio calculation please

[nooby_mcnoob]

Not for nothing, but I don't think the first charts look like SR 4. Something is not right.

I agree, the SR calc is on hold right now.

 

[nooby_mcnoob]

OK, reproduced the idea using a full new implementation. Now to find the bugs in this one.

 

[tradrjoe]

Bid ask spreads

 

[nooby_mcnoob]

Bid ask spreads

Already included as a cost on top of commission

 

[rvince99]

There have been at least 10 3-SD days last month alone

Yes, but never, say, a 3 sd year in the yearly broad market I believe. This is why sharp and other measureswgich incorporate variance arw only relevant for the time period they measure.

When someone asks "What's the Sharpe ratio?" the only intelligent way to ask that is "what's the Sharpe ratio on monthly data or yearly data or whatever period length."