Hi everyone as you know when we test our stratgy we use Sharpe Ratio and CAGR and we chose 252 for "N" to compute formule for daily trading. But whats the number for 4H,H and 15 minutes trading stratgy ? Thanks
To annualize, you have to find the number of bars which makes a year
Number of trading days in a year –> 252
Number of trading hours in a year = number of trading hours per day * 252
= 6.5 * 252
= 1638
6.5 hours is for NYSE which works from 9:30 am to 4:00 pm.
Trading hours for different stock exchanges
https://www.investopedia.com/ask/answers/040115/when-do-stock-market-exchanges-close.asp
Similarly, you can calculate for other frequencies.
Thanks
Thank you so much