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Sharpe Ratio

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In plain English

Sharpe is a report card: how much return you got per unit of bumpiness over the last year. High Sharpe means a smooth grind up. Low or negative Sharpe means a messy or losing year.

Here it is painted onto the price line as colored dots. Green-ish dots are capitulation-like low Sharpe (historically often a better place to look). Hot pink is a euphoric high-Sharpe stretch.

Math and metrics

Rolling 365 calendar-day window on daily closes (needs price.daily, not sparse ~12d samples). √365 annualization. Color-mapped on y2; price on log y.

r_j = P_j/P_{j−1} − 1. Sharpe_t = (mean(r) / stdev(r)) · √365 over the last 365 daily returns.

Guides: −1 (capitulation) and +2.5 (euphoria). Risk-free rate is taken as 0 (crypto convention on this plate).