Research method
Sharpe ratio
Sharpe ratio is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive15 readings
1984Evaluating managed account portfolios on the risk-return frontier1986Auditing stochastic crossovers with moving-average baselines1990Score drawdown depth and duration as a pain budget1994Evaluating system changes with chi-square, Sharpe, and leverage1995Evaluating mechanical switch rules with a stop-loss order and Sharpe ratio1995Intermediate-term allocation with drawdown filters1996Evaluating a multi-market book without picking winners1996Regime-aware allocation beyond a single equity trend1997Evaluating managed futures as portfolio diversifiers1998Evaluating a binary relative-strength allocation2008Audit an out-of-the-money covered-call overlay against a Sharpe control2013Constructing the Sharpe ratio as return over variability2014Expected value and bet size are separate controls2015Constructing a Sharpe-style score from profit and loss variability2019Continuous futures series and long-horizon allocation evaluation
This registry entry describes a research method. It is not investment advice and does not make a performance claim.