|
PureBytes Links
Trading Reference Links
|
>Hm, is there any reason why this couldn't be applied to monthly
>returns? I daytrade a system which I can only test 2 years back.
>Would "Monthly return," "Risk free monthly return," and "Annualized
>standard deviation of monthly returns" work as well?
I use average of monthly returns but annualize it by multiplying the
average monthly return by 12.
I use the standard deviation of monthly returns and annualize it by
multiplying the monthly standard deviation by SQRT(12).
You can also use weekly returns and multiply the results by 52 and
SQRT(52), respectively.
The annualized values should be about the same regardless of the sampling
period (monthly, weekly, etc.) if the distribution is "normal". In actual
fact, it isn't quite "normal" so the standard deviations calculated for
shorter periods tends to be somewhat larger than for longer periods.
Bob Fulks
|