When evaluating a backtest of a trading strategy, it is a routine practice to discount a Sharpe ratio by 50%. This paper seeks to establish an analytical method of determining the magnitude of a given haircut, since a 50% haircut could excessively penalize strategies with high Sharpe ratios.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.