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- HorseRider
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spy sharpe ratio
if one trade eod of SPY from beginning of year, what's the sharpe ratio?
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- HorseRider
- Posts: 0
- Joined:
spy sharpe ratio
Each day I calculate daily return, X1...Xn. If I use mean(Xi)/sd(xi) * sqrt(252) ~= 6 But if I annulize each return by 252 * Xi = Yi, then obviously mean(Yi)/sd(Yi) = mean(Xi)/sd(Xi) = 0.37.Which number is correct?Thanks
