Say I have a trading strategy that has given n trades over a period of t trading days. To compute the annual profit I will do something like
CAGR = prod(profits+1)^(1/(t/252))
Then I will subtract the risk-free rate, but how exactly do I get the annualized standard deviation? If I have 30 trades, divided on 400 trading days, could I just calculate the standard deviation of the profits and multiply it by the square root of 252/t?
STDDEV = stedev(profits)*sqrt(252/t)
Or is this logic completely wrong?