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by patina
September 9th, 2020, 8:37 am
Forum: Numerical Methods Forum
Topic: Sharpe Ratio Calculation for historic trades
Replies: 0
Views: 3729

Sharpe Ratio Calculation for historic trades

Hi, I'm looking to retrospectively calculate the sharpe on a number of trades I have placed. I trade a portfolio weekly, but in each week the individual elements are not traded (into or exiting) at the same time. Enclosed is an example of these trades. I've been recommended to look at the CFA calcu...