Sharpe Ratio

Definition

Excess return divided by the standard deviation of returns.

Boundary

It penalizes upside and downside volatility equally and assumes returns are roughly normal.

Role distribution

Market regimes

Common parameters

Frequent co-occurrence

No co-occurrence records.

Semantic relations

• Derivation → Sortino RatioThe Sortino ratio is a Sharpe variant that penalizes only downside volatility.
• Basis ← VolatilityThe Sharpe ratio uses volatility as its denominator.

Evidence strategies

• Momentum-Alpha策略Momentum-Alpha-StrategyContextInferred
• 波动率过滤双均线交叉高夏普比策略-Volatility-Filtered-Dual-EMA-Crossover-High-Sharpe-Ratio-StrategyContext
• 开放市场曝光度动态调仓量化交易策略-Open-Market-Exposure-Dynamic-Position-Adjustment-Quantitative-Trading-StrategyContextInferred
• 均线交易策略Trend-Trading-Strategy-Based-on-Moving-AverageContextInferred
• 双BB指标RSI量化交易策略Flawless-Victory-Quantitative-Trading-Strategy-Based-on-Double-BB-Indicators-and-RSIContextInferred
• 基于海龟交易员策略的突破反转模型Breakout-Reversal-Model-Based-on-Turtle-Trading-StrategyContextInferred
• 积极底部截获量化策略Aggressive-Bottom-Sniping-Quantitative-StrategyContextInferred
• 精准趋势突破交易策略Precise-Trend-Breakout-Trading-StrategyContextInferred
• 动量双均线交叉策略Momentum-Double-Moving-Average-StrategyContextInferred
• 基于均线交叉的RR策略Crossing-Moving-Average-RR-StrategyContextInferred
• Flawless-Victory-StrategyContextInferred
• 月度回报双极化策略Bi-Polar-Monthly-Return-StrategyContextInferred
• 高级双均线策略与ATR波动率过滤系统-Advanced-Dual-EMA-Strategy-with-ATR-Volatility-Filter-SystemContextInferred
• 相似矩形高度模式量化策略-Similar-Rectangle-Height-Pattern-Quantitative-StrategyContextInferred
• 双向突破反转策略Bidirectional-Breakout-Reversal-StrategyContextInferred
• 极端分布摆动策略Extreme-Distribution-Swing-StrategyContextInferred
• 双边波段过滤策略Dual-Bandpass-Filter-StrategyContextInferred

Corpus quotes