Hi,

I'm trying to calculate the sharpe ratio for pair trading with different parameters that trigger when to enter and exit a position.

http://en.wikipedia.org/wiki/Sharpe_ratio introduces a "risk-free rate of return" factor whih I really don't understand.

If anyone has done this, please tell me what you used for the variable Rf

Regards

Adam

I'm trying to calculate the sharpe ratio for pair trading with different parameters that trigger when to enter and exit a position.

http://en.wikipedia.org/wiki/Sharpe_ratio introduces a "risk-free rate of return" factor whih I really don't understand.

If anyone has done this, please tell me what you used for the variable Rf

Regards

Adam