Crypto Risk Metrics Calculator
Crypto Risk Metrics Explained
This calculator computes the key risk metrics that professional crypto traders and quant funds use to evaluate strategy performance. Paste your trade returns (one per line, in bps or percentage) and get all metrics at once.
Metrics Computed
- Sharpe Ratio: Risk-adjusted return. Mean return / standard deviation of returns. Higher is better. Above 1.0 is good, above 2.0 is excellent.
- Sortino Ratio: Like Sharpe but only penalizes downside volatility. Better for strategies with positive skew. Above 1.0 is good.
- Calmar Ratio: Annual return / max drawdown. Measures return per unit of worst-case loss. Above 1.0 is good.
- Max Drawdown: The largest peak-to-trough decline in your equity curve. The most important risk metric for most investors.
- VaR (95%): Value at Risk. The 5th percentile of your return distribution. "You have a 5% chance of losing more than this."
- CVaR (95%): Conditional VaR. The average loss in the worst 5% of cases. More realistic than VaR for fat-tailed distributions.
- Skewness: Measures asymmetry. Negative skew = fat left tail (bad). Positive skew = fat right tail (good).
- Kurtosis: Measures tail fatness. High kurtosis = more extreme outcomes (both gains and losses).
Why Sharpe Alone Isn't Enough
Two strategies can have the same Sharpe ratio but very different risk profiles. One might have steady small gains and occasional large losses (negative skew). The other might have steady small losses and occasional large gains (positive skew). The Sortino, Calmar, and distribution metrics tell you which is which.
How dMoERA Uses These Metrics
dMoERA computes all of these metrics for every bot in its 80-bot roster, every fund, and every backtest. The leaderboard ranks bots by a composite process score that incorporates Sharpe, drawdown, and consistency — not just raw returns.
Frequently Asked Questions
- What is a good Sharpe ratio for crypto trading?
- For crypto strategies, a Sharpe ratio above 1.0 is considered good, above 2.0 is excellent, and above 3.0 may indicate overfitting (check with the deflated Sharpe calculator).
- What is the difference between Sharpe and Sortino?
- Sharpe penalizes all volatility (both upside and downside). Sortino only penalizes downside volatility. For strategies with positive skew, Sortino is a better measure because it doesn't punish you for upside surprises.
- What is max drawdown and why is it important?
- Max drawdown is the largest percentage decline from a peak to a trough in your equity curve. It's the most important risk metric for most investors because it represents the worst-case loss they'd experience.
- How do I calculate VaR for crypto?
- VaR (Value at Risk) at 95% confidence is the 5th percentile of your return distribution. This calculator computes it directly from your trade returns. For crypto, which has fat tails, CVaR is a better risk measure than VaR.
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