Sharpe Ratio
Average excess return divided by the volatility of returns — return per unit of risk. A Sharpe near 1 is respectable for a directional strategy; sustained Sharpes above 2 are rare and usually fragile. Because it penalizes upside and downside volatility equally, complement it with drawdown when judging skewed strategies.
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Related terms
CAGR (Compound Annual Growth Rate)The constant yearly growth rate that would turn the starting value int…VolatilityThe dispersion of an asset's returns, usually measured as the annualiz…Maximum DrawdownThe largest peak-to-trough loss a strategy experienced over a test win…
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.