Performance and Risk Calculators

A strategy's return means very little on its own. The question these calculators answer is what was risked to produce it — and there is no single answer, because risk means different things depending on what you are worried about. The Sharpe ratio measures return against total variability; Sortino counts only downside variability, on the reasoning that upside volatility is not something anyone needs compensating for; Calmar measures it against the worst drawdown actually suffered.

Which of those is the right question depends on the strategy. A system with occasional large gains is punished by Sharpe and rewarded by Sortino, and the difference between the two figures is itself informative. Each page states exactly what its denominator counts, because the ratio is meaningless without knowing that.

The market-relative measures — beta, alpha, correlation — need a benchmark series alongside your own, and answer a different question: how much of a result came from exposure to something that was moving anyway. Correlation matters particularly for position sizing, because risk across positions only adds up the way most people assume when those positions are independent, and they usually are not.

Everything here is computed from returns you enter. These are descriptive statistics about a sample of results that already happened; none of them forecasts, and a ratio computed over a short record is dominated by luck rather than by anything repeatable.