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Sharpe ratio calculator

Paste your returns (daily, weekly or monthly, in %) to get the annualized Sharpe and Sortino ratios, or enter an annual return and volatility.

Runs in your browser. Nothing you type is uploaded.

From annual figures

Result

Sharpe ratio (annualized)
4.7
Sortino ratio (annualized)
8.39
Annualized return
25.2%
Annualized volatility
4.51%
Average return per period
0.1%
Standard deviation per period
0.2842%
Number of returns
20
Sharpe ratio from annual figures
0.53

Turn on JavaScript to recalculate. The results below are for the example values.

How it works

Same return, different SharpeTwo equity curves that end at the same placeSteady: high SharpeBumpy: low SharpeSharpe rewards return per unit of risk, not return alone.

The formula

Sharpe ratio = (average return − risk-free rate) ÷ standard deviation of returns, then × √(periods per year) to annualize: √252 for daily returns, √52 weekly, √12 monthly.

The Sortino ratio uses only the downside deviation, the returns below the risk-free rate, so a strategy is not marked down for large gains.

Reading the number

Above 1 after costs is often called good for a trading strategy. A Sharpe above 2 or 3 from a backtest is more often a sign of overfitting or missing costs than a reason to celebrate.

How this calculator counts

It uses the sample standard deviation (n − 1) and divides the annual risk-free rate evenly over the periods. Annualizing with the square root assumes returns are independent from one period to the next, which trend-following and mean-reverting strategies often are not.

Questions

What is a good Sharpe ratio?

For a live trading strategy after costs, 1 is good and 2 is excellent. For a backtest, ask how many variations were tried: the best of many backtests will show a high Sharpe even with no edge.

Daily or monthly returns?

Either works if you annualize with the right number of periods. Daily returns give more data points; monthly returns smooth out daily noise. Results usually differ a little.

Sharpe or Sortino?

Sharpe penalizes all volatility; Sortino penalizes only losses. For strategies with skewed returns, such as trend following, report both.

What risk-free rate should I use?

The yield of short-term government bills in your currency, for example the 3-month US Treasury bill. Many traders use 0 to compare strategies with each other.

Test the idea on years of data, not one trade

AlphaPrime generates and backtests futures strategies on your GPU, with contract specs, trading costs and sessions built in, then exports the strategy code for your trading platform.

Free 7-day trialSee how it works

For education. Not investment advice. Check the exchange before you trade.