Sharpe ratio calculator
Sharpe and Sortino from your monthly returns.
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Rolling Sharpe ratio
Is the reward for risk steady, or did a few good stretches make the record? The Sharpe ratio window by window, from your prices.
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The Sharpe ratio
Sharpe ratio of 2.41 a year over the last 60 bars, strong; 0.43 over all 199 bars.
- Through the run
- The 60-bar Sharpe ratio ran from -4.22 to 4.83, median 0.85. It was above 0 in 74% of the windows and above 1 in 46%.
- How sure
- On 60 bars a Sharpe ratio is only known to about ±2.05 a year (one standard error). 6% of the windows sit more than two standard errors from the whole-run figure. With a steady reward for risk that averages about 5%, and overlapping windows can push it to 15% by chance, so the swings from window to window fit chance; they do not show a change.
- Read it with care
- No cash rate is taken off, and the moves are the closes you pasted: a strategy's balance works the same way. A high Sharpe ratio on a short window is common by luck; the whole run and the low windows say more about what to expect.
The 60-bar Sharpe ratio a year at points through the run, by the bar it ends on. The latest is marked.
| Ends at bar | Sharpe ratio |
|---|---|
| 81 | -2.07 |
| 98 | 0.29 |
| 115 | 0.26 |
| 132 | 0.69 |
| 149 | 2.56 |
| 166 | 4.10 |
| 183 | 3.94 |
| 200 | 2.41 |
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.
Why one Sharpe ratio is not enough
The Sharpe ratio is the average return divided by its swings, scaled to a year. One number for the whole record hides how it was made: a strategy at 1.0 over five years may have earned it all in one good year and been flat or losing the rest. This page measures it window by window, so you see how often the reward for risk was there, and how wide the range is against the noise any short window carries.
For a monthly record with a cash rate use the Sharpe ratio calculator, test whether a record is skill or luck with the probabilistic Sharpe ratio, and see the time spent below a high with the time under water calculator.
Not advice. Arithmetic on the prices you type; past results 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.