currently my sharpe ratio is 0.16 which is calculated at daily rate of return. Whilst I tend to hold positions for a few days, and if possible longer, and do not take trades daily sometimes a few days to weeks apart, I feel the ratio does not reflect correctly on my strategy.
while if calculated at a weekly rate my sharpe ratio on said system would be 0.93 and if it were based on the monthly rate it would be 5.70
Main point being that not all strategies should be put under the same hat. Different strategies have different strengths and weaknesses. Some are intraday, some hold positions a few days, and some for weeks or longer.
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