Sharpe of a held curve
Forge API 1
The Sharpe of the strategy and of the same money held in each instrument, on the same days.
the mean of the curve's daily returns over their sample standard deviation, times the square root of the periods in a year, for the strategy and for each held instrument
Annualised: Daily returns are scaled to a year by the trading days the run's own data contains in a year, measured from the days its bars fall on.
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