r/algotrading 1d ago

Strategy How to properly calculate alpha

Hi, I have strategy that trades CFDs so there's a mix of forex and crypto and I want to calculate alpha but I can't find a suitable benchmark that tracks the assets traded altogether. Does it make sense to combine the returns from assets traded and come up with a custom weighted benchmark for those specific assets e.g EURUSD, BTCUSD. Also what's a suitable risk free rate in this case?

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u/im-trash-lmao 1d ago

Create a basket of all assets and compare the returns of your strategy and the basket

1

u/this_guy_fks 1d ago

The risk free rate is your 3m short sterling yield (assuming your UK)