Calculator

The whole chain, as a calculator

Every discount, live — hit rate and trade count in, annual Sharpe, t-statistic and time to significance out.

Hit rate and N → annual Sharpe → significance

Hit rate p 54.0%

Trades per year N 1,260

Correlation ρ across simultaneous positions 0.20

Magnitude dispersion c 1.00

Cost κ (frac. of typical move) 0.020

Track record length 3.0 y

Gross per-trade Sharpe—

Net per-trade Sharpe—

Trades / year, nominal—

Trades / year, effective—

Annual Sharpe—

t over the track record—

Years to t = 2—

Years to t = 3—

Break-even hit rate—

Assumes symmetric payoffs and a fixed cost fraction κ that does not vary with the trade rate. Break-even hit rate is the p at which the net edge reaches zero for the current κ.

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