FAQs

Sharpe Ratio FAQs

What’s a “good” Sharpe?

Rough rules: ~1.0 is investable, ≥ 2.0 is very good, ≥ 3.0 is exceptional. Context matters—timeframe, asset class, and sample length all influence the number.

Why use log returns by default?

They treat up and down moves symmetrically and behave better for large swings and long horizons. Linear is fine for small, stable step changes.

How should I set Periods/Year?

Match your return sampling: 252 for daily, 52 for weekly, 12 for monthly, etc. This only affects annualized Sharpe.

Does it repaint?

No. The ratio uses completed data within rolling windows. Values evolve intrabar and lock at close, which is standard indicator behavior.

Why does my Sharpe jump when I change timeframe?

Because returns, volatility, and the periods/year scaling change with the sampling frequency. Either fix the calculation TF or compare like-for-like across symbols.