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 2.68
Probability the true Sharpe beats zero: 90.7%. Better than a coin flip, not a closed case.
- Annualized Sharpe
- 2.68
- Probabilistic Sharpe
- 90.7%
- 95% band
- -1.29 to 6.66
- 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.