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Sharpe usually is calculated based on monthly returns.
Using a month return 'averages' the returns and usually gives less deviation.
That usually gives a better Sharpe Ratio.
If the system trades 100x a month it gives a nice averaging effect.
But what if a system only trades 1 time a month or even less?
Then there is no benefit of averaging and the Sharpe Ratio usually
will be (much) worse.
Is there any documentation on how to act in such situations?
Just average blocks of 10 trades for example?
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