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tehs1mps0ns t1_ja4828g wrote

Ok forget about p/l. So I what I should understand is the sharpe ratio of your backtest portfolio (1.7) is based on the price of the underlying at expiry, and no other exit strategy such as trailing stops, etc. I'm asking to guide my own personal implementation. Thanks!

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hardyrekshin OP t1_ja4gwff wrote

Yep.

I have no doubt you can improve on the sharpe ratio with more intelligent exiting.

2