Sharpe ratio calculator
Sharpe and Sortino from your monthly returns.
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Monthly seasonality
Is there a best month to trade, or is it luck? Your monthly returns grouped by calendar month, with the test that tells the two apart.
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The returns
By calendar month
Best month on average: March, +2.03%; worst: September, -0.57%, against +0.20% for the typical month and +0.55% for all months.
- Luck or pattern
- No month stands out from chance: on these 3.0 years no month's gap to the typical month passes the 5% line for its count. The gaps between months are what random returns would give.
- How much data
- 3 returns per month is very little: each average rests on a handful of years, and one big month moves it.
- Read it with care
- The t-statistic compares a month's average with the typical month (the middle of the 12 averages), against the spread of returns within the months; it has to pass the 5% line in the table, which is above 2 with few years. Calendar patterns that were famous tend to fade once traders act on them.
Each calendar month: how many returns, the average, the share that rose, the t-statistic of its gap to the typical month and the line it must pass. The best month is marked.
| Month | Returns | Average | Rose | t | 5% line |
|---|---|---|---|---|---|
| January | 3 | +1.00% | 67% | +0.56 | 2.09 |
| February | 3 | +0.07% | 33% | -0.09 | 2.09 |
| March | 3 | +2.03% | 67% | +1.28 | 2.09 |
| April | 3 | -0.03% | 67% | -0.16 | 2.09 |
| May | 3 | +1.07% | 67% | +0.61 | 2.09 |
| June | 3 | +0.33% | 67% | +0.09 | 2.09 |
| July | 3 | -0.17% | 67% | -0.26 | 2.09 |
| August | 3 | +1.53% | 100% | +0.93 | 2.09 |
| September | 3 | -0.57% | 33% | -0.54 | 2.09 |
| October | 3 | -0.13% | 67% | -0.23 | 2.09 |
| November | 3 | -0.07% | 33% | -0.19 | 2.09 |
| December | 3 | +1.53% | 100% | +0.93 | 2.09 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
Seasonality, and why most of it is noise
Gold is often said to be strong in January and weak in March; stocks to rise in November and lag in summer. Any record grouped by month will show a best and a worst month, even pure chance. What matters is whether a month's average is large against its own swings and its number of years, which the t-statistic measures, and whether the pattern survives on years it was not found on.
Judge the whole record with the Sharpe ratio calculator, see the shape of the returns with the return distribution, and test whether a record is skill or luck with the probabilistic Sharpe ratio.
Not advice. Arithmetic on the returns you type; past patterns do not promise future ones.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.