Great to hear you were able to replicate the results!
Regarding the Sharpe ratio, the difference is that you are considering days where you had no position (hence no risk) in your computation. That doesn't make sense. We should exclude these days. One thing is to take a risk on a given day and have zero return (this day should be included…
Great to hear you were able to replicate the results!
Regarding the Sharpe ratio, the difference is that you are considering days where you had no position (hence no risk) in your computation. That doesn't make sense. We should exclude these days. One thing is to take a risk on a given day and have zero return (this day should be included). Another completely different thing is to not take risks (no position) on a given day (this day should be excluded).
Great to hear you were able to replicate the results!
Regarding the Sharpe ratio, the difference is that you are considering days where you had no position (hence no risk) in your computation. That doesn't make sense. We should exclude these days. One thing is to take a risk on a given day and have zero return (this day should be included). Another completely different thing is to not take risks (no position) on a given day (this day should be excluded).