Community-Backtests
Look at backtests other users have published and compare the portfolios by return and risk metrics.
What does it measure?
✅ Higher = more return per unit of volatility
Relates the return above the risk-free rate to the volatility. A higher value means more extra return per unit of volatility.
Formula
(Rₚ − Rᶠ) / σₚ
Rₚ = average daily return × 252 (not the CAGR) · σₚ = volatility · Rᶠ = risk-free rate from your settings (0 in the Community-Backtests)
William F. Sharpe, Nobel Prize in Economics 1990.
Rough guide
- < 0.5
- low
- 0.5 – 1.0
- medium
- 1.0 – 2.0
- high
- > 2.0
- very high (rarely lasting)
Rules of thumb — where a value lands depends on asset class, period and market phase. A classification is no recommendation.
When to use
When you want to compare portfolios with different levels of volatility.
Limitation: Only compare values with the same period and the same assumptions, especially the same risk-free rate. Volatility captures rare, severe crashes only partly, so a strategy with rare large losses can still show a high value.