Course Name: Crypto Trading Strategies: Intermediate, Section No: 2, Unit No: 9, Unit type: Notebook

Installations & Python Packages
1

I have a problem with understanding this calculation. Why is the mean multiplied by sqrt of number of days? Shouldn't be std that is multiplied by that? 

def calc_sharpe(df):
    # Caluclate the day wise returns
    day_wise_returns = df.groupby(df.day).pct

    # Return the day wise Sharpe
    return (np.sqrt(252)*day_wise_returns.mean()/day_wise_returns.std())

2

Never mind. I understood. It is the mean * days / std * sqrt(days). The formula should results of arithmatic manipulation. 

3

Hi Israel,



It's great to know that you understood the calculation. Please let us know if you have any other queries. Happy learning!