Annualized sharp ratio

AI & Machine learning
1

I am looking at the course  Trading with Machine Learning: Classification and SVM , section 5 unit 2.

It analyzes an intraday strategy with minute bars.

When calculating the shape ratio, we annualize by multiplying by sqrt(252). But since it is minute bars, no daily, should not we multiply by sqrt(252x6.5x60)?

2

Hi Nicolas,



That's right. It should be multiplied by sqrt(number of minutes in a day * number of trading days in a year)



Thanks for pointing out. We will make the changes.

 

3

We have updated the notebook. Thank you!