How it works
The Sharpe ratio divides the excess return, meaning the average annual return minus the risk-free rate, by the annual volatility of returns. The Sortino ratio uses the same excess return but divides by the downside volatility only, so upside swings are not penalized. The Calmar ratio divides the annual return by the maximum drawdown, the largest loss from a peak to a later low.
With the default inputs, (12 − 3) / 15 gives a Sharpe ratio of 0.6, (12 − 3) / 10 a Sortino ratio of 0.9 and 12 / 18 a Calmar ratio of about 0.67. The rating follows a common rule of thumb for the Sharpe ratio: negative means below the risk-free rate, 0 to 0.5 weak, 0.5 to 1 okay, 1 to 2 good, 2 to 3 very good, 3 and above exceptional. The comparison bars are rough, rounded guide values, not measured figures for any specific product.
All inputs should cover the same period and use annual figures. Ratios from short or heavily optimized backtests tend to overstate real-world quality, and a high Sharpe ratio says nothing about rare extreme losses. Use the result to compare strategies on equal terms, not as a forecast.