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Sharpe ratio
QuantThe average excess return of a strategy divided by its standard deviation. The canonical risk-adjusted return measure.
Full definition
The Sharpe ratio (Sharpe 1966) measures the average excess return per unit of total volatility. It is the most-cited risk-adjusted return metric in quant work but is biased by non-normality (skew, kurtosis) and by multiple-testing (a search over many strategies inflates the maximum Sharpe by chance). On this site, the headline Sharpe of every published project is paired with its Deflated Sharpe Ratio (DSR) and its MinBTL threshold so the reader can judge whether the number is real.
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