Rolling Sharpe
Whether the reward for the risk was steady or came from one good stretch.
In the demo portfolio
-2.3 to 3.3
How it is computed here
The Sharpe ratio recomputed over every rolling window of 126 sessions, about six months.
Worked example
- The Sharpe ratio recomputed on every six-month window: 1,437 windows.
- It ranged from -2.3 to 3.3; one lifetime Sharpe of 0.41 hides that.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
A single lifetime Sharpe cannot distinguish a steady 1.2 from a 4.0 year surrounded by four flat ones. They are completely different things to own.