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You should not debate whether this much data is required to calculate the
Sharpe ratio when trading using 5 or 20 minute bars. The Sharpe ratio has
absolutely nothing to do with individual trades. It's the ratio of the
average yearly return by the standard deviation of the yearly return. It's
obvious that you can not calculate the Sharpe without at least three years
data and it's not even very interesting with less than 5 years performance
record.
However, you can calculate a monthly Sharpe but usually if you trade futures
it won't be very good.
J.J.
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