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Sharpe ratio intra-day


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  #1 (permalink)
soacm
Bucharest, Romania
 
Posts: 71 since Mar 2022
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How important is the Sharpe ratio for intraday strategies? Does anyone use it for the evaluation of the strategy? Thank you.


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  #2 (permalink)
 
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 leezus 
Manhattan, KS
 
Experience: Intermediate
Platform: NinjaTrader
Broker: CQG
Trading: NQ, ES, YM, TN, CL
Posts: 4 since Jan 2022
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As with all things. It depends on your system. Personally, I am working on automated scalping strategies (typically only holding 1-2 bars on any timeframe I'm trading). I do pay attention to it and target a 1 in backtesting but I value my profit factor much more, I've found I can be under a 1 on Sharpe and very profitable still day trading but the higher the Sharpe ratio in my backtests the less painful the drawdowns are in real time typically (for me).


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