Sharpe ratio
Sharpe ratio calculator good trader or lucky?
Paste a close series. The engine returns the Sharpe ratio, the 95% band, and the probabilistic Sharpe: the chance the true ratio beats zero.
BTC
Annualized Sharpe 0.82
Probability the true Sharpe beats zero: 65.3%. Luck still fits this window.
- Annualized Sharpe
- 0.82
- Probabilistic Sharpe
- 65.3%
- 95% band
- -3.25 to 4.88
- Risk-free
- 0.00%
Per-period ratio scaled by sqrt(periods)
Chance the true Sharpe beats zero
Annualized confidence interval
Annual rate you set
- Each row is daily, 365 periods a year. Annualized figures use 365 periods.
- 90 closes in the series. Computed by Thrive's portfolio engine. Rounded to the digit shown.
What the ratio actually says
Sharpe divides average excess return by the volatility of that return. A high number can be skill. It can also be a short sample, a lucky streak, or a series that barely wiggles.
The probabilistic Sharpe, from Bailey and Lopez de Prado, turns the sample ratio into a probability that the true Sharpe beats a benchmark. Here the benchmark is zero. A 0.95 print means the track record is long enough, and skewed little enough, that luck is a poor explanation.
How this page runs it
Closes become simple returns. Thrive's portfolio engine returns the Sharpe ratio and the 95% bounds from those returns and the per-period risk-free rate. It also returns the probability that the true Sharpe beats zero.
Thrive annualizes with the frequency you pick: 365 for crypto days, 252 for exchange sessions, 52 for weeks, 12 for months. The annualized figure is the per-period ratio times the square root of that count. We do not inflate it.
How to run it
- Paste closes, oldest first, or start from the live Bitcoin series.
- Set the risk-free rate as an annual percent. Zero is an honest crypto default.
- Pick the bar size so the annualization matches the rows.
- Read the annualized Sharpe, the band, and the probability it beats zero.
FAQ
People also ask
Above 1.0 annualized is a solid live track for a liquid book. Above 2.0 deserves a hard look at sample length, fees, and whether the path was shorted volatility. The probabilistic Sharpe is the check on whether the number is luck.
It is the probability that the true Sharpe beats a benchmark Sharpe, after correcting for sample length and for skew in the returns. This calculator uses a benchmark of zero: better than cash with no drift.
Use the funding you actually earn on idle cash, as an annual percent. If idle cash earns nothing, leave the rate at zero. The per-period rate sent to the engine is that annual rate divided by the number of periods in a year.
A nearly straight line has almost no volatility, so the ratio stops meaning anything. The page labels those prints as not meaningful instead of quoting a cartoon number.
Same definition. This page uses closes you paste. Thrive Pro runs the track on the fills you synced, with fees in the path.
Related
Sortino and Calmar calculator
Sortino uses downside deviation instead of total volatility. Calmar divides annualized return by max drawdown. Same closes, two ratios that punish different mistakes.
Volatility calculator
Close-to-close realized volatility from the closes you paste, de-meaned, then annualized with the calendar you pick. One asset or a whole list.
Max drawdown calculator
Peak to trough, the ulcer index, the pain index, and the worst drawdowns in the window. One close series, four ways the path hurt.
Trading journal
The ratio on a pasted series is a lab result. The journal is the book you actually traded.
Position size calculator
Vol and drawdown tell you the path. Size tells you what you can hold.
Bitcoin volatility
The live 90-close vol print for the BTC sample.
Run the Sharpe on trades you took.
A pasted Bitcoin series is a public path. The question is whether your book beat zero after costs. Thrive logs the fills and keeps the score.