Sharpe ratio = (average return − risk-free rate) ÷ standard deviation of returns, times the square root of the periods in a year to annualize. Paste your returns, or enter an annual return and volatility, and this calculator gives the annualized Sharpe ratio with every step. Daily crypto returns annualize over 365 days, since crypto trades every day.
One return per period, decimal (0.015) or percent (1.5%), separated by commas or new lines.
0 measures the strategy alone; a cash yield measures what it adds over cash.
Excess return per period over the standard deviation.
Sharpe = (R − Rf) ÷ σ
annualized = Sharpe per period × √NThe summary mode skips the series: it divides the annual return minus the risk-free rate by the annual volatility you enter, which is the same formula already annualized.
| Returns | Periods a year | Multiply by |
|---|---|---|
| Daily, crypto | 365 | 19.10 |
| Daily, stock trading days | 252 | 15.87 |
| Weekly | 52 | 7.21 |
| Monthly | 12 | 3.46 |
Take 10 daily returns: 1.2%, −0.9%, 0.4%, 1.4%, −1.3%, 0.3%, 0.8%, −1.0%, 1.1%, −1.2%, with a risk-free rate of 0.
10 returns are far too few to judge a strategy; the example only shows the arithmetic. Paste a long series into the calculator above for a number worth reading.
These are the usual readings traders use. They are conventions, not laws, and a short test can land anywhere on the table by luck.
| Annualized Sharpe | The usual reading |
|---|---|
| below 0 | loses money after the risk-free rate |
| 0 to 1 | a weak edge, often not worth it over holding |
| 1 to 2 | a real edge |
| 2 to 3 | very strong |
| 3 and above | rare over a long sample; check for overfitting or a short test |
Across the 18 strategies in Keel's public library, backtested on Hyperliquid perps from Aug 15, 2024 to Jul 5, 2026, the median Sharpe ratio is 1.11; half of them sit between 0.99 and 1.62. Those numbers are after fees, slippage and funding. See the strategies and their backtests.
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Take the average return per period, subtract the risk-free rate for that period, divide by the standard deviation of the returns, then multiply by the square root of the periods in a year. For 10 daily returns averaging 0.08% with a standard deviation of 1.07%, the per-day ratio is 0.075, and times the square root of 365 (19.10) the annualized Sharpe ratio is 1.42.
By the usual rule of thumb for trading strategies: below 0: loses money after the risk-free rate; 0 to 1: a weak edge, often not worth it over holding; 1 to 2: a real edge; 2 to 3: very strong; 3 and above: rare over a long sample; check for overfitting or a short test. Across the 18 strategies in Keel's public library, backtested on Hyperliquid perps from Aug 15, 2024 to Jul 5, 2026, the median Sharpe ratio is 1.11; half of them sit between 0.99 and 1.62. Those are backtests after fees, slippage and funding.
It sits on the line between two readings: below 1 is a weak edge, often not worth it over holding, and from 1 it is a real edge. It is a reasonable bar for a strategy you would run, as long as the test is long and counts every cost. The median strategy in Keel's public library sits at 1.11, measured after fees, slippage and funding.
Multiply the per-period Sharpe ratio by the square root of the periods in a year: 365 for daily crypto returns, 252 for daily stock returns, 52 for weekly and 12 for monthly. This assumes returns are roughly independent from one period to the next; strongly autocorrelated returns make the annual figure look better than it is.
Use 0 to measure the strategy on its own, or the yield you could earn on cash instead, such as a Treasury bill rate, to measure what the strategy adds over holding cash. Either is fine; use the same rate for every strategy you compare.
Yes. A short test, a few lucky trades, or picking the best of many settings can all produce a Sharpe ratio the strategy will not repeat. The deflated Sharpe ratio corrects for how many variants you tried; check a high number with it before you trust it.
Both divide excess return by risk. The Sharpe ratio counts all volatility as risk, up days and down days alike. The Sortino ratio counts only returns below a target, usually zero, so a strategy with big winners and small losers scores higher on Sortino than on Sharpe.