The Sharpe ratio divides a strategy's excess return by the volatility of its returns, both annualised. It answers a different question from max drawdown: not how bad the worst fall was, but how bumpy the ride was on an ordinary day for the return it delivered.
Sharpe = (annualised return − risk-free rate) ÷ annualised volatility of returns
Dynamic Factor Strength Strategy has the highest Sharpe ratio here, 0.97, with +18.0% CAGR and a -24.1% max drawdown. As a rough guide, above 1 is good for a single strategy and above 2 is rare in a long backtest; a very high value on a short window is more often luck than skill.
Across 6 re-run strategies the Sharpe ratio ranges from 0.73 to 0.97, median 0.85. Each value is reported by the strategy's own backtest.
Highest Sharpe ratio — full table
Sharpe = (annualised return − risk-free rate) ÷ annualised volatility of returns
Dynamic Factor Strength Strategy has the highest Sharpe ratio here, 0.97, with +18.0% CAGR and a -24.1% max drawdown. As a rough guide, above 1 is good for a single strategy and above 2 is rare in a long backtest; a very high value on a short window is more often luck than skill.
Across 6 re-run strategies the Sharpe ratio ranges from 0.73 to 0.97, median 0.85. Each value is reported by the strategy's own backtest.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.