Great piece very insightful! To achieve these metrics you calc returns ONLY in NYC trading hours and NOT in the other markets right? i.e. cumulative returns trading long only in NYC trading hours over the duration? If not, how are you calculating the returns? Thanks!
Thank you for this!
Great piece very insightful! To achieve these metrics you calc returns ONLY in NYC trading hours and NOT in the other markets right? i.e. cumulative returns trading long only in NYC trading hours over the duration? If not, how are you calculating the returns? Thanks!