Back to Community
Is there a bug in the calculation of the "Sharpe Ratio" in the backtesting?

Hi,

I did a backtesting. From the new backtesting result page I got the followings:

Total Returns 100.71 %
Specific Returns 30.62 %
Common Returns 53.51 %
Sharpe 1.20
Max Drawdown -18.55 %
Volatility 0.17

But from the old page I got these:
Total Returns
100.7%
Benchmark Returns
64.3%
Alpha
0.15
Beta
0.70
Sharpe
1.84
Sortino
2.67
Volatility
0.17
Max Drawdown
-18.55%

One can see the Sharpe is quite different.

1 response

I'm just guessing, but perhaps the old page calculated the average Sharpe ratio on a rolling annual basis (252 days), whereas the new page calculates it on a rolling 126 day basis?