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A signal computed before the open has a correlation of about 0.05 with that day's open-to-close return. What Sharpe ratio would you expect from trading it, and what do you have to assume?

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Your model's predictions have correlation x with the realised moves of the S&P 500. If you trade purely on the model, what share of your trades do you expect to win, as a function of x?Daily log returns have autocorrelation rho. If you compute the Sharpe ratio from weekly returns instead of daily ones, how do the numerator and the denominator change?

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