No. 11Metrics
Sharpe ratio calculator.
Paste a series of returns and get the standard risk-adjusted score - annualized.
Sharpe ratio (annualized)
1.22
Annualized return
36.5%
Annualized volatility
29.8%
Samples
12
Method
Risk-adjusted return, annualized
The Sharpe ratio divides average excess return by the standard deviation of returns, then annualizes by the square root of periods: Sharpe = mean(excess) / std x sqrt(periods). Excess return subtracts the per-period risk-free rate.
Crypto series are usually annualized with 365 periods (daily, including weekends) rather than 252. At least five data points are needed for a meaningful estimate, and a series with no variation has an undefined Sharpe.
Questions
Frequently asked
- What is a good Sharpe ratio?
- Loosely: below 1 is unremarkable, 1-2 is solid, above 2 is strong, and above 3 is rare and often a sign of overfitting or a short, lucky sample. Always judge it out-of-sample.
- Why 365 instead of 252 for crypto?
- Crypto trades every day, so daily returns are annualized with 365 periods. Equities use 252 trading days. The choice scales the Sharpe by sqrt(365/252), so be consistent.
- Why do I need at least five returns?
- Standard deviation from a handful of points is too noisy to mean anything. Five is a floor for a rough estimate; dozens to hundreds give a number you can lean on.
- What are the Sharpe ratio's limitations?
- It penalizes upside and downside volatility equally, assumes returns are well-behaved, and is easy to inflate by overfitting. Pair it with max drawdown and an out-of-sample test.
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Get Sharpe and deflated Sharpe on every backtest.
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