Calculate Sharpe Ratio and Sortino Ratio from your trading returns. Measure whether your strategy earns enough return for the risk you're taking.
Paste your monthly/daily/weekly returns (% values) separated by commas, spaces, or new lines.
20 data points loaded
Sharpe Ratio
1.43
Good
Sortino Ratio
2.94
Excellent
Annualised Return
23.29%
Avg period: 1.76%
Max Drawdown
3.10%
Volatility: 10.19%
Interpretation Guide
Sharpe Ratio Benchmark
Your Metrics
HOW IT WORKS
Enter your monthly/daily/weekly return % values, comma-separated or one per line.
Use the current RBI repo rate or 91-day T-bill yield (around 6.5%).
See Sharpe Ratio, Sortino Ratio, annualised return, max drawdown, and interpretation.
FAQ
Sharpe Ratio = (Average Return − Risk-Free Rate) / Standard Deviation × √Periods. It measures how much excess return you earn per unit of total risk. Higher is better.
Sortino Ratio only penalises downside volatility (negative returns), not upside volatility. It is a more fair measure for strategies that have high upside variance. A Sortino > 2 is excellent.
Investors benchmark against Nifty or FD returns. Traders compare strategies against each other. A trading strategy with Sharpe > 1.5 is considered good in quantitative trading.
Sharpe Ratio calculated from fewer than 12 data points is unreliable due to small sample bias. Use at least 2 years of monthly data (24+ points) for meaningful results.
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