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What Bob said. :-)
I understand your "problem" of different markets being closed on
different days but I don't see it as a problem. Just use the price the
last time that stock was open for trading to calc your EOD equity.
As Bob also said in the past, Sharpe isn't something you look at with a
microscope. You care about the difference between Sharpe = 1 and 2 but
not about the difference between Sharpe = 1.01 and 1.02. It's not that
precise a measurement. Most funds do the calc once a month so doing it
daily using the last known price is more than accurate enough.
Include some cash in your equity. It doesn't really matter how much you
start with as long as it gives you the ability to add and subtract
stocks from your portfolio without drawing the cash below zero.
In other words do it just like a real account. Start with X cash in the
account, spend some of it on securities, and watch how the total value
of cash plus securities changes every day using the last known price for
the securities. Calc the Sharpe of the portfolio using that total.
--
Dennis
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