Free Trading Tool

Trading Performance Metrics Calculator

Sharpe, Sortino, Calmar, MAR, gain-to-pain and maximum drawdown — from one paste of your monthly returns. And unlike every other calculator on this subject, this one tells you whether your sample is big enough for the answer to mean anything.

Free Tool

Trading Performance Metrics Calculator

Paste a column of monthly returns and get Sharpe, Sortino, Calmar, MAR, gain-to-pain and maximum drawdown at once — each one reported with an honest verdict on whether your sample is large enough for the number to mean anything.

Monthly returns, in percent

One per line, or separated by commas or spaces. Paste straight from a spreadsheet column. Use 3.2 for a 3.2% month and -1.8 for a 1.8% loss. Percent signs are ignored.

Risk-free rate, annual %

Sortino target, monthly %

Why the verdicts matter more than the numbers

Any calculator can divide return by volatility. The hard part is knowing whether the result is signal or noise, and that depends almost entirely on how many months you fed it. A Sharpe ratio computed on twelve months has a confidence interval wider than the entire range of plausible answers. This tool prints that range next to every result, along with how many months you would actually need. Most tools quietly skip that part, because it makes the number look worse.

What it calculates

Metric	Divides return by	Read the full method
Sharpe ratio	Total volatility, up and down	Sharpe ratio explained
Sortino ratio	Downside volatility only	Sortino ratio explained
Calmar / MAR ratio	Maximum drawdown	Calmar and MAR explained
Gain-to-pain ratio	The sum of every losing month	Gain-to-pain explained
Maximum drawdown	Nothing — it is the raw depth	Drawdown management

How to use it

Export your account history, work out your return for each calendar month as a percentage, and paste the column straight in. One number per line. A 3.2% winning month is 3.2; a 1.8% losing month is -1.8. Commas, spaces and percent signs are all handled.

Two optional inputs change what the numbers mean. The risk-free rate is what cash would have paid you over the same period; leaving it at zero inflates your Sharpe, which is what most free calculators quietly do. The Sortino target is the monthly return below which you consider the month a failure. Zero is the standard choice and the one that makes your figure comparable to published ones, but your own required monthly return is the more honest question.

If you want to see it work before you dig out your statements, hit Load example. That fills in a realistic twelve-month series and shows exactly how four correct metrics can tell four different stories about one identical year.

Frequently asked questions

How many months do I need?

More than you would like. For a Sharpe ratio around 1.0, roughly 48 months before the figure is statistically distinguishable from zero. For a Sharpe around 0.5, closer to fifteen years. Calmar needs its full 36-month window by definition, and MAR keeps improving in reliability for as long as you keep trading. The calculator states the requirement for your specific result rather than making you guess.

Can I use daily returns instead?

Not in this tool. Monthly is the convention every published benchmark assumes, and feeding in daily data would produce numbers that look precise and compare to nothing. The annualisation here multiplies by the square root of twelve, which is only correct for monthly inputs.

Why is my Sortino so much higher than my Sharpe?

Because your winning months are large. Sharpe counts them as risk; Sortino ignores them entirely. A Sortino between roughly 1.2 and 1.5 times your Sharpe is normal for a symmetric return series. Three or four times means your distribution is heavily skewed to the upside, which is exactly the situation where quoting Sharpe alone undersells you.

Does this calculate profit factor or expectancy?

Not directly, because those are trade-level metrics and this tool works on an equity curve. It does report the monthly profit-factor equivalent alongside gain-to-pain, since the two are the same number on a shifted scale. For per-trade analysis use the expectancy calculator, and read the profit factor guide for the one-trade test that exposes a fake edge.