[{"data":1,"prerenderedAt":1150},["ShallowReactive",2],{"\u002Fglossary\u002Fwhat-is-standard-deviation-in-trading":3,"\u002Fglossary\u002Fwhat-is-standard-deviation-in-trading-related":300},{"id":4,"title":5,"body":6,"category":285,"date":286,"description":287,"draft":288,"extension":289,"meta":290,"navigation":288,"path":291,"related":292,"seo":297,"stem":298,"term":180,"updated":286,"__hash__":299},"glossary\u002F5.glossary\u002Fwhat-is-standard-deviation-in-trading.md","What Is Standard Deviation in Trading? Formula and Data",{"type":7,"value":8,"toc":277},"minimark",[9,13,18,29,49,88,91,95,98,112,115,143,147,158,161,172,176,203,235,239,270],[10,11,12],"p",{},"Standard deviation is the typical distance between a single trade's result and the account's average trade result. On ShowMyTrades it is reported in the account currency, so it answers a direct question: how much does one trade usually differ from the ordinary trade on this account? A small figure means results cluster; a large one means the history is made of outliers.",[14,15,17],"h2",{"id":16},"how-it-works","How it works",[19,20,25],"pre",{"className":21,"code":23,"language":24},[22],"language-text","Standard Deviation = √( Σ (rᵢ − mean)² \u002F n )\n","text",[26,27,23],"code",{"__ignoreMap":28},"",[10,30,31,32,35,36,40,41,44,45,48],{},"Where ",[26,33,34],{},"rᵢ"," is the net result of closed trade ",[37,38,39],"em",{},"i",", ",[26,42,43],{},"mean"," is the average of those results, and ",[26,46,47],{},"n"," is the number of closed trades. Four details decide what the number means:",[50,51,52,63,69,82],"ul",{},[53,54,55,59,60,62],"li",{},[56,57,58],"strong",{},"Each trade enters net of costs."," ",[26,61,34],{}," is profit + commission + swap, so commission-heavy and swap-heavy trades widen the dispersion exactly as much as they narrow the profit.",[53,64,65,68],{},[56,66,67],{},"Only closed buy and sell trades count."," Deposits and withdrawals are filtered out before the series is built, so funding the account is not a giant outlier.",[53,70,71,74,75,77,78,81],{},[56,72,73],{},"It is the population form",", dividing by ",[26,76,47],{}," rather than ",[26,79,80],{},"n − 1",". With fewer than two closed trades the metric reads 0.00.",[53,83,84,87],{},[56,85,86],{},"It is in currency, not percent."," A $50 standard deviation on a $2,000 account and on a $200,000 account describe completely different behaviour. Always read it against the account balance.",[10,89,90],{},"Because distances are squared before averaging, one exceptional trade moves the figure far more than a dozen ordinary ones — which is what makes it catch the trade that does not belong.",[14,92,94],{"id":93},"why-it-matters","Why it matters",[10,96,97],{},"Standard deviation is the honest test of the word \"consistent\": anyone can call an equity curve steady, and this puts a currency value on how steady the trades were.",[10,99,100,101,106,107,111],{},"It is also the denominator of our ",[102,103,105],"a",{"href":104},"\u002Fglossary\u002Fwhat-is-the-sharpe-ratio","Sharpe ratio",": Sharpe is the average trade expressed in units of this figure. And it is the natural companion to ",[102,108,110],{"href":109},"\u002Fglossary\u002Fwhat-is-expectancy","expectancy",", which gives the average outcome per trade with no indication of how reliably that average is delivered.",[10,113,114],{},"The most useful reading is comparative, against the two averages sitting a few rows away:",[50,116,117,123,137],{},[53,118,119,122],{},[56,120,121],{},"Close to Avg. Win"," — results are tight. The account behaves the same way most of the time.",[53,124,125,128,129,132,133,136],{},[56,126,127],{},"Several times Avg. Win"," — a handful of trades carries the history. Check ",[56,130,131],{},"Best Trade (P&L)"," and ",[56,134,135],{},"Worst Trade (P&L)"," before trusting the totals.",[53,138,139,142],{},[56,140,141],{},"Much larger than Avg. Loss"," — at least one loss sits far outside the routine.",[14,144,146],{"id":145},"what-the-data-shows","What the data shows",[10,148,149,150,153,154,157],{},"The figures below describe accounts published on ShowMyTrades, not traders in general. Across the published accounts that have trading history (August 2026), the ",[56,151,152],{},"median Sharpe ratio is 0.05"," on a ",[56,155,156],{},"median of 171 closed trades",".",[10,159,160],{},"Run our own definition backwards and that pairing is precise about dispersion: since Sharpe is the mean trade divided by this standard deviation, a median of 0.05 means the average trade on the middle account is worth roughly one twentieth of the standard deviation of its trades. Routine variation between one trade and the next is about twenty times larger than the edge extracted from them.",[10,162,163,164,171],{},"On a ",[56,165,166,170],{},[102,167,169],{"href":168},"\u002Fglossary\u002Fwhat-is-average-trade-length","median trade length"," of 2.4 hours",", that is why a full day of results teaches a trader nothing: a day sits well inside the dispersion. It is also why a low figure on a young account is not evidence of control — the sample may simply not contain the outlier the strategy can produce, and squared distances mean that when it arrives, it arrives loudly.",[14,173,175],{"id":174},"where-you-see-it-on-showmytrades","Where you see it on ShowMyTrades",[10,177,178,181,182,185,186,189,190,193,194,197,198,202],{},[56,179,180],{},"Standard Deviation"," is the exact label, in the ",[56,183,184],{},"Advanced Statistics"," module of the account page, inside the ",[37,187,188],{},"Performance Metrics"," column, formatted in the account currency and carrying a tooltip. It sits directly above ",[56,191,192],{},"Sharpe Ratio",", the ratio it divides, below ",[56,195,196],{},"Profit Factor",", and is calculated on our servers from the stored closed trades. The module is shown by default on published account pages, though ",[102,199,201],{"href":200},"\u002Fguides\u002Fpublic-profile-and-custom-slugs","the owner can hide it",", and it is not part of the embeddable widgets.",[10,204,205,206,209,210,40,213,40,216,40,218,132,220,223,224,227,228,234],{},"Read it across to the ",[37,207,208],{},"Trades"," column of the same module, where ",[56,211,212],{},"Avg. Win",[56,214,215],{},"Avg. Loss",[56,217,131],{},[56,219,135],{},[56,221,222],{},"Total Trades"," give the figure its context. The module's ",[56,225,226],{},"Duration"," view makes the dispersion visual: every closed trade is one point, holding time in hours across the bottom and profit or loss up the side, so the spread becomes a shape rather than a number. ",[56,229,230],{},[102,231,233],{"href":232},"\u002Fguides\u002Fcustom-analysis-and-filter-presets","Custom Analysis"," recomputes the whole block on a filtered subset — Date Range, Symbols, Magic Numbers, Trade Type, Lot Size and more — which shows whether the dispersion belongs to the strategy or to one instrument.",[14,236,238],{"id":237},"common-misunderstandings","Common misunderstandings",[50,240,241,247,258,264],{},[53,242,243,246],{},[56,244,245],{},"\"It is a percentage.\""," Ours is an amount of money per trade. Comparing it between accounts of different size is meaningless without the balance beside it.",[53,248,249,252,253,257],{},[56,250,251],{},"\"It measures market volatility.\""," It measures the ",[102,254,256],{"href":255},"\u002Fglossary\u002Fwhat-is-volatility","volatility"," of your results. A calm market traded with escalating size produces a large figure.",[53,259,260,263],{},[56,261,262],{},"\"Low standard deviation means low risk.\""," Only closed trades enter it. Systems that hold losers open post uniformly small closed results while the real exposure sits in floating positions.",[53,265,266,269],{},[56,267,268],{},"\"A low figure on 30 trades is reassuring.\""," Below a few hundred trades, treat it as provisional.",[10,271,272,273,157],{},"For how many trades a set of statistics needs before it means anything, see the guide on ",[102,274,276],{"href":275},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","how much history a track record needs",{"title":28,"searchDepth":278,"depth":278,"links":279},2,[280,281,282,283,284],{"id":16,"depth":278,"text":17},{"id":93,"depth":278,"text":94},{"id":145,"depth":278,"text":146},{"id":174,"depth":278,"text":175},{"id":237,"depth":278,"text":238},"Metrics","2026-08-19T00:00:00.000Z","Standard deviation measures how far a single trade lands from your average trade. Here is the formula we use, net of costs, and how to read it on thousands of accounts.",true,"md",{},"\u002Fglossary\u002Fwhat-is-standard-deviation-in-trading",[293,294,295,296],"what-is-the-sharpe-ratio","what-is-volatility","what-is-expectancy","what-is-the-sortino-ratio",{"title":5,"description":287},"5.glossary\u002Fwhat-is-standard-deviation-in-trading","erd9RmXvwGmqWy07DwcKxdN6CBwW8ySYP01l-ftXMHQ",[301,541,735,943],{"id":302,"title":303,"body":304,"category":285,"date":286,"description":531,"draft":288,"extension":289,"meta":532,"navigation":288,"path":109,"related":533,"seo":538,"stem":539,"term":421,"updated":286,"__hash__":540},"glossary\u002F5.glossary\u002Fwhat-is-expectancy.md","What Is Expectancy? Formula, Example, Real Data",{"type":7,"value":305,"toc":524},[306,309,311,317,324,327,333,336,338,346,354,362,364,377,397,415,417,429,467,484,486,517],[10,307,308],{},"Expectancy is the average result of a single trade, expressed in currency or in pips: what the account earns, on average, every time it opens a position. It is built from four numbers — win rate, average win, loss rate, average loss — and it answers \"does this system make money per trade\" in units you can multiply by a trade count. Positive expectancy repeated often enough is a business; negative expectancy is a countdown.",[14,310,17],{"id":16},[19,312,315],{"className":313,"code":314,"language":24},[22],"Expectancy = (Win Rate × Avg Win) − (Loss Rate × Avg Loss)\n\nLoss Rate = 1 − Win Rate\n",[26,316,314],{"__ignoreMap":28},[10,318,319,320,323],{},"A system that wins 40% of the time, makes $300 on a winner and loses $100 on a loser: (0.40 × $300) − (0.60 × $100) = $120 − $60 = ",[56,321,322],{},"+$60 per trade",". Four hundred trades a year is $24,000 of expected result, before position size changes and before anything goes wrong.",[10,325,326],{},"The same formula written in R multiples, where R is one average loss, strips out the account currency and makes systems comparable:",[19,328,331],{"className":329,"code":330,"language":24},[22],"Expectancy (R) = (Win Rate × Payoff) − (1 − Win Rate)\n\nPayoff = Avg Win \u002F Avg Loss\n",[26,332,330],{"__ignoreMap":28},[10,334,335],{},"Two things decide whether the output means anything. First, costs must already sit inside the inputs: spread, commission and swap come out of every trade, shrinking each winner and enlarging each loser. Second, the averages need enough trades that one outsized result cannot set them.",[14,337,94],{"id":93},[10,339,340,341,345],{},"Expectancy is the bridge between a statistic and a plan. ",[102,342,344],{"href":343},"\u002Fglossary\u002Fwhat-is-a-profit-factor","Profit factor"," tells you the ratio of money won to money lost; expectancy tells you what one more trade is worth, which is the number you multiply by frequency to get an expected month.",[10,347,348,349,353],{},"It also exposes the trade-off that a win rate hides. A win rate is only half of an edge — the other half is the ",[102,350,352],{"href":351},"\u002Fglossary\u002Fwhat-is-risk-reward-ratio","risk-reward ratio",", and expectancy is where the two meet. Move either one and the result moves; keep both and no amount of narrative changes it.",[10,355,356,357,361],{},"And it sets the cost floor. If a strategy expects +$8 a trade and the round-turn ",[102,358,360],{"href":359},"\u002Fglossary\u002Fwhat-is-a-spread","spread"," and commission cost $7, what is left is not a strategy.",[14,363,146],{"id":145},[10,365,366,367,370,371,374,375,157],{},"The figures below describe accounts published on ShowMyTrades, not traders in general. Take the middle of the published accounts that have trading history (August 2026): a ",[56,368,369],{},"median win rate of 68.8%",", a ",[56,372,373],{},"median profit factor of 1.28"," and a ",[56,376,156],{},[10,378,379,380,383,384,387,388,396],{},"Those numbers pin the expectancy of that middle account. Inverting the profit factor formula gives an average winner worth about ",[56,381,382],{},"0.58×"," its average loser, and the R form turns the rest into arithmetic: (0.688 × 0.58) − 0.312 = ",[56,385,386],{},"+0.087R",". Nine hundredths of one average losing trade, per trade taken. Over 171 trades the entire record adds up to roughly fifteen average losses' worth of profit — which is why the ",[56,389,390,391,395],{},"median ",[102,392,394],{"href":393},"\u002Fglossary\u002Fwhat-is-time-weighted-return","time-weighted return"," is only +3.2%"," despite nearly seven trades in ten closing green.",[10,398,399,400,132,403,406,407,410,411,414],{},"Costs are not a rounding error at that thickness. Published accounts have paid ",[56,401,402],{},"$4,782,670 in commissions",[56,404,405],{},"$862,547 in swap",", and ",[56,408,409],{},"86.3%"," of the accounts that carry swap at all pay net negative swap. At a ",[56,412,413],{},"median trade length of 2.4 hours",", an edge of 0.087R survives only if the cost of a round turn stays small against the average loss.",[14,416,175],{"id":174},[10,418,419,422,423,425,426,428],{},[56,420,421],{},"Expectancy"," is a row in the ",[56,424,184],{}," module on every published account page, inside the ",[37,427,188],{}," group. It prints both units on one line — pips first, then account currency — because a pip figure travels between symbols and a currency figure travels between position sizes, and neither alone is complete.",[10,430,431,432,434,435,40,438,40,440,132,442,444,445,450,451,132,454,457,458,40,461,132,464,157],{},"Its four inputs are in the ",[37,433,208],{}," group of the same module: ",[56,436,437],{},"Win Rate",[56,439,212],{},[56,441,215],{},[56,443,222],{},", next to ",[56,446,447],{},[102,448,449],{"href":168},"Avg. Trade Length",", which says whether a thin per-trade edge is being earned in hours or in weeks. The costs already deducted appear as ",[56,452,453],{},"Total Commissions",[56,455,456],{},"Total Swap Paid",", with the per-trade detail in the trades table under ",[56,459,460],{},"Profit (Gross)",[56,462,463],{},"Swap",[56,465,466],{},"Commission",[10,468,469,470,474,475,40,478,132,481,483],{},"To test whether an expectancy is one edge or an average of several, the ",[56,471,472],{},[102,473,233],{"href":232}," slideover recomputes the whole block on a filtered subset — by symbol, magic number, direction, date range, weekday or hour — and Advanced Statistics adds ",[37,476,477],{},"Weekday",[37,479,480],{},"Hourly",[37,482,226],{}," views that split the same result without any filtering.",[14,485,238],{"id":237},[50,487,488,499,505,511],{},[53,489,490,493,494,498],{},[56,491,492],{},"\"Positive expectancy means I will make money.\""," It means the average trade is profitable. Size the positions wrong and a positive-expectancy system still ends at zero: survival is a ",[102,495,497],{"href":496},"\u002Fglossary\u002Fwhat-is-position-sizing","position sizing"," question, not an expectancy one.",[53,500,501,504],{},[56,502,503],{},"\"Expectancy is just my average trade.\""," Only if the average is taken net. Computed on gross profit it ignores commission and swap, which is exactly where thin edges disappear.",[53,506,507,510],{},[56,508,509],{},"\"A high win rate implies positive expectancy.\""," It implies nothing on its own. At a 0.58 payoff, a 60% win rate is a losing system.",[53,512,513,516],{},[56,514,515],{},"\"The number is stable.\""," On a few hundred trades it is not. One outsized winner can lift a whole record's expectancy, and removing it is a fair test.",[10,518,519,520,157],{},"For the metrics worth tracking over time and the order to read them in, see ",[102,521,523],{"href":522},"\u002Fguides\u002Ftracking-trading-performance","the guide to tracking trading performance",{"title":28,"searchDepth":278,"depth":278,"links":525},[526,527,528,529,530],{"id":16,"depth":278,"text":17},{"id":93,"depth":278,"text":94},{"id":145,"depth":278,"text":146},{"id":174,"depth":278,"text":175},{"id":237,"depth":278,"text":238},"Expectancy is the average profit or loss of one trade: (win rate × avg win) − (loss rate × avg loss). The formula, a worked example, and public accounts.",{},[534,535,536,537],"what-is-a-profit-factor","what-is-risk-reward-ratio","what-is-position-sizing","what-is-drawdown",{"title":303,"description":531},"5.glossary\u002Fwhat-is-expectancy","U6yMG7Etb-uidsGFxazRu_6VJh-bM41wGZNqkAU1r7Q",{"id":542,"title":543,"body":544,"category":285,"date":286,"description":727,"draft":288,"extension":289,"meta":728,"navigation":288,"path":104,"related":729,"seo":732,"stem":733,"term":192,"updated":286,"__hash__":734},"glossary\u002F5.glossary\u002Fwhat-is-the-sharpe-ratio.md","What Is the Sharpe Ratio? Formula, Limits and Real Data",{"type":7,"value":545,"toc":720},[546,549,551,554,560,563,569,576,579,581,584,590,598,600,611,624,627,629,659,662,680,682,713],[10,547,548],{},"The Sharpe ratio is average return divided by the standard deviation of those returns: how much return an account produced per unit of volatility. Two accounts that finish a year at the same gain can carry very different Sharpe ratios, and the higher one got there on a smoother path.",[14,550,17],{"id":16},[10,552,553],{},"The textbook definition uses periodic returns and subtracts a risk-free rate:",[19,555,558],{"className":556,"code":557,"language":24},[22],"Sharpe Ratio = (Mean return − Risk-free rate) \u002F Standard deviation of returns\n",[26,559,557],{"__ignoreMap":28},[10,561,562],{},"ShowMyTrades computes it on closed trades rather than on calendar periods, and does not subtract a risk-free rate:",[19,564,567],{"className":565,"code":566,"language":24},[22],"Sharpe Ratio = Mean per-trade result \u002F Standard deviation of per-trade results\n",[26,568,566],{"__ignoreMap":28},[10,570,571,572,575],{},"Each trade enters the series as profit + commission + swap, so the inputs are already net of costs. Only closed buy and sell trades count: deposits, withdrawals and balance operations are filtered out before the series is built. The denominator is the population standard deviation of that same series — squared distances divided by the number of trades, not by that number minus one — which is why ",[102,573,574],{"href":291},"standard deviation"," sits immediately above the ratio in our statistics table: it is literally the divisor. An account with fewer than two closed trades reads 0.00.",[10,577,578],{},"Measuring per trade rather than per month means the figure is not annualised, so the usual conventions do not transfer. \"Above 1.0 is good, above 2.0 is excellent\" describes an annualised Sharpe on periodic returns. On a per-trade series, 1.00 would mean the average trade is worth a full standard deviation of trade outcomes — almost no account with a meaningful trade count reaches it.",[14,580,94],{"id":93},[10,582,583],{},"Gain alone says where an account ended. Sharpe says something about how it travelled. A strategy with a small, dependable edge repeated often will show a modest but positive ratio; a strategy carried by two lucky trades will show a large mean sitting on an even larger dispersion, and the ratio collapses.",[10,585,586,587,157],{},"It is also the honest counter to a chart that merely looks smooth, built from the same closed trades that produce ",[102,588,589],{"href":343},"profit factor",[10,591,592,593,597],{},"What it cannot do is distinguish good volatility from bad. A trade that overshoots to the upside raises the denominator exactly as much as one that overshoots to the downside. That objection is the reason the ",[102,594,596],{"href":595},"\u002Fglossary\u002Fwhat-is-the-sortino-ratio","Sortino ratio"," exists.",[14,599,146],{"id":145},[10,601,149,602,604,605,374,607,157],{},[56,603,152],{},", on a ",[56,606,156],{},[56,608,609,170],{},[102,610,169],{"href":168},[10,612,613,614,616,617,132,620,623],{},"Read through our own formula, 0.05 says something concrete: on the median account the average trade is worth about one twentieth of a standard deviation of trade results. Roughly twenty parts noise to one part signal. That is not a failing set of accounts — the median ",[102,615,394],{"href":393}," is ",[56,618,619],{},"+3.2%",[56,621,622],{},"63.0%"," of them are positive over time. It is what a real edge looks like at the level of a single trade.",[10,625,626],{},"It also explains why short samples prove nothing. At that signal-to-noise ratio, a run of twenty green trades is an ordinary outcome for an account with no edge at all, and a week of red says nothing about an account that has one.",[14,628,175],{"id":174},[10,630,631,181,633,185,635,637,638,640,641,40,643,40,646,40,648,132,651,654,655,157],{},[56,632,192],{},[56,634,184],{},[37,636,188],{}," column and carrying a tooltip. It sits directly under ",[56,639,180],{}," — its own denominator — and beside ",[56,642,196],{},[56,644,645],{},"Z-Score (Probability)",[56,647,421],{},[56,649,650],{},"AHPR",[56,652,653],{},"GHPR",". It is calculated on our servers from the stored closed trades, printed to two decimals, and coloured green from 1.00 up, yellow from 0 to 1, red below zero. The module is shown by default on published account pages, though the owner can hide it, and it is not part of the ",[102,656,658],{"href":657},"\u002Fguides\u002Ftrading-widgets-and-embeds","embeddable widgets",[10,660,661],{},"One warning about our own page: the tooltip on that label still quotes the conventional bands, above 1.0 good and above 2.0 excellent. Those bands belong to an annualised Sharpe on periodic returns, not to the per-trade figure printed beside them.",[10,663,664,665,40,668,40,670,132,672,674,675,679],{},"The same module offers ",[56,666,667],{},"Table",[56,669,477],{},[56,671,480],{},[56,673,226],{}," views, and ",[56,676,677],{},[102,678,233],{"href":232}," recomputes the whole block on a filtered subset — Date Range, Symbols, Magic Numbers, Trade Type, Trading Hours, Lot Size and more. Recomputing Sharpe without an account's best symbol shows whether the ratio describes a system or an episode.",[14,681,238],{"id":237},[50,683,684,690,701,707],{},[53,685,686,689],{},[56,687,688],{},"\"Above 1.0 is good.\""," True of an annualised Sharpe on periodic returns. Ours is per trade, so the threshold does not apply.",[53,691,692,695,696,700],{},[56,693,694],{},"\"Sharpe measures risk.\""," It measures dispersion of closed trade results. It knows nothing about how deep the account fell — that is ",[102,697,699],{"href":698},"\u002Fglossary\u002Fwhat-is-drawdown","drawdown",", reported separately.",[53,702,703,706],{},[56,704,705],{},"\"A high Sharpe means a safe account.\""," Grid and averaging systems post tight, uniform closed trades precisely because they refuse to realise losers. Floating losses never enter the series.",[53,708,709,712],{},[56,710,711],{},"\"I can compare my Sharpe with any account.\""," Only at comparable trade frequency and holding period: a scalper closing 200 trades a month and a swing trader closing 8 are measured in different units.",[10,714,715,716,157],{},"For how Sharpe reads next to every other number on an account page, see the guide to ",[102,717,719],{"href":718},"\u002Fguides\u002Freading-a-trading-account-dashboard","reading a trading account dashboard",{"title":28,"searchDepth":278,"depth":278,"links":721},[722,723,724,725,726],{"id":16,"depth":278,"text":17},{"id":93,"depth":278,"text":94},{"id":145,"depth":278,"text":146},{"id":174,"depth":278,"text":175},{"id":237,"depth":278,"text":238},"The Sharpe ratio is average return divided by the volatility of those returns. Here is the formula, how we compute it per trade, and why our median is 0.05.",{},[730,296,731,534],"what-is-standard-deviation-in-trading","what-is-recovery-factor",{"title":543,"description":727},"5.glossary\u002Fwhat-is-the-sharpe-ratio","ba1NCAQnPXiXHA3mQUH2kyWz1dokcPnUnzXgxtvFftA",{"id":736,"title":737,"body":738,"category":285,"date":286,"description":935,"draft":288,"extension":289,"meta":936,"navigation":288,"path":595,"related":937,"seo":939,"stem":940,"term":941,"updated":286,"__hash__":942},"glossary\u002F5.glossary\u002Fwhat-is-the-sortino-ratio.md","What Is the Sortino Ratio? Downside Risk Explained",{"type":7,"value":739,"toc":928},[740,743,745,751,757,762,765,779,782,784,796,799,807,809,827,830,845,847,880,894,896,922],[10,741,742],{},"The Sortino ratio is the Sharpe ratio with a narrower denominator: instead of dividing return by the volatility of all results, it divides by the volatility of the results that fell below a chosen target. Upside swings do not count as risk. It answers the objection that a trader punished for large winners is being punished for the wrong thing.",[14,744,17],{"id":16},[19,746,749],{"className":747,"code":748,"language":24},[22],"Sortino Ratio = (Mean return − Target return) \u002F Downside deviation\n",[26,750,748],{"__ignoreMap":28},[19,752,755],{"className":753,"code":754,"language":24},[22],"Downside deviation = √( Σ min(rᵢ − Target, 0)² \u002F n )\n",[26,756,754],{"__ignoreMap":28},[10,758,759,760,157],{},"Every observation above the target contributes zero to the denominator. Everything below contributes its squared shortfall, exactly as in ",[102,761,574],{"href":291},[10,763,764],{},"Two choices sit inside that formula, and both change the number:",[50,766,767,773],{},[53,768,769,772],{},[56,770,771],{},"The target."," Zero, the risk-free rate, or a required return. A Sortino computed against 0% and one computed against 4% a year are different statistics wearing the same name.",[53,774,775,778],{},[56,776,777],{},"The divisor."," Some implementations divide by the total count of observations, others only by the count of below-target ones. The second always produces a larger, friendlier ratio.",[10,780,781],{},"Because neither choice is standardised, a Sortino ratio quoted without its target and its convention is not a comparable figure. That is a practical problem, not a pedantic one: it is the reason two platforms can report different Sortino ratios for the same account and both be correct.",[14,783,94],{"id":93},[10,785,786,787,791,792,795],{},"The idea behind Sortino is sound. Investors do not experience a 5% up-month as risk, and a measure that treats it as such misprices strategies with positive skew — ",[102,788,790],{"href":789},"\u002Fglossary\u002Fwhat-is-trend-following","trend following",", for instance, where a few very large winners carry the whole result and inflate the ",[102,793,794],{"href":104},"Sharpe"," denominator.",[10,797,798],{},"But treating upside volatility as free is a modelling choice, not a law, and it cuts the wrong way for a whole family of trading systems. Grid, martingale and averaging-down strategies produce their up-moves and their down-moves from the same mechanism: adding size against the position. Score them with Sortino and the ordinary small profits stay in the numerator while most of the dispersion drops out of the denominator, until the day the mechanism fails. Sortino flatters exactly the strategies whose risk is hardest to see in closed trades.",[10,800,801,802,806],{},"The safe reading is that Sortino is a useful second opinion on a return series, never a verdict, and never a substitute for ",[102,803,805],{"href":804},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","maximum drawdown",", which measures the thing an investor actually lives through.",[14,808,146],{"id":145},[10,810,149,811,814,815,818,819,822,823,826],{},[56,812,813],{},"median deepest drawdown is 9.7%",", but the distribution is where the argument sits: ",[56,816,817],{},"38.5%"," never fell more than 5%, while ",[56,820,821],{},"38.2%"," have been down more than 20% and ",[56,824,825],{},"17.6%"," have lost more than half their peak value.",[10,828,829],{},"Two nearly equal groups, at opposite ends of the range. That shape is why downside-only statistics are attractive and why they are dangerous on the same data: the accounts in the deep tail did not get there through symmetric wobble, they got there through one direction. Any measure that discards half the distribution has to be right about which half.",[10,831,832,833,836,837,839,840,844],{},"One more asymmetry is already built into the raw numbers. Published accounts have paid ",[56,834,835],{},"$862,547"," in swap, and ",[56,838,409],{}," of the accounts that carry swap at all ",[102,841,843],{"href":842},"\u002Fguides\u002Fswap-and-carry-trade","pay net negative swap",". The drift on the average holding cost points down, before any strategy makes a decision.",[14,846,175],{"id":174},[10,848,849,850,853,854,856,857,132,859,861,862,864,865,868,869,872,873,879],{},"Nowhere, and it is worth being exact about that. ",[56,851,852],{},"No panel, chart, widget or export on ShowMyTrades displays a Sortino ratio",", and our statistics engine does not calculate one either — there is no stored value waiting behind the interface. The ",[56,855,184],{}," module publishes ",[56,858,192],{},[56,860,180],{}," in its ",[37,863,188],{}," column; the ",[56,866,867],{},"Account Stats"," panel publishes ",[56,870,871],{},"Drawdown",", the worst equity drawdown, and ",[56,874,875],{},[102,876,878],{"href":877},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance","DD on Balance",", the worst drawdown measured on closed results alone. Those are the downside figures our pages carry today.",[10,881,882,883,40,886,40,888,132,890,893],{},"If you want a Sortino on a published account, you can build one. The trades table on an account page has a CSV download of the closed trade list, one row per trade with ",[56,884,885],{},"Profit",[56,887,463],{},[56,889,466],{},[56,891,892],{},"Net profit"," columns — that last column is the same series our Sharpe ratio is computed on. Pick your target, state it, and the number is reproducible by anyone else with the same file. That is a better outcome than an unlabelled ratio on a page, and it is the standard we would have to meet before publishing one.",[14,895,238],{"id":237},[50,897,898,904,910,916],{},[53,899,900,903],{},[56,901,902],{},"\"Sortino is a better Sharpe.\""," It is a different question, not a strictly better answer. It measures shortfall against a target; Sharpe measures dispersion. Both ignore drawdown depth.",[53,905,906,909],{},[56,907,908],{},"\"A high Sortino means small losses.\""," It means few or small results below the target. A single catastrophic trade that has not happened yet is absent from both ratios.",[53,911,912,915],{},[56,913,914],{},"\"Sortino ratios are comparable across sites.\""," Only when the target and the divisor convention match, and they usually are not published.",[53,917,918,921],{},[56,919,920],{},"\"ShowMyTrades hides its Sortino.\""," There is nothing to hide: we do not compute one. The closed-trade export lets you compute your own.",[10,923,924,925,157],{},"For the measure we do publish on the downside, and how to read it, see the guide to ",[102,926,805],{"href":927},"\u002Fguides\u002Fmaximum-drawdown-explained",{"title":28,"searchDepth":278,"depth":278,"links":929},[930,931,932,933,934],{"id":16,"depth":278,"text":17},{"id":93,"depth":278,"text":94},{"id":145,"depth":278,"text":146},{"id":174,"depth":278,"text":175},{"id":237,"depth":278,"text":238},"The Sortino ratio replaces total volatility with downside deviation. Here is the formula, the modelling choice inside it, and why we do not publish one.",{},[293,730,938,731],"what-is-maximum-drawdown",{"title":737,"description":935},"5.glossary\u002Fwhat-is-the-sortino-ratio","Sortino Ratio","McckUz-i7wK1j0jeiRBNXe71AOkmVU22WIMkpahZ1N4",{"id":944,"title":945,"body":946,"category":285,"date":286,"description":1142,"draft":288,"extension":289,"meta":1143,"navigation":288,"path":255,"related":1144,"seo":1146,"stem":1147,"term":1148,"updated":286,"__hash__":1149},"glossary\u002F5.glossary\u002Fwhat-is-volatility.md","What Is Volatility? How It Is Measured in Trading",{"type":7,"value":947,"toc":1135},[948,951,953,956,962,965,972,974,980,986,989,991,998,1015,1029,1031,1052,1072,1093,1095,1129],[10,949,950],{},"Volatility is the dispersion of returns around their own average — how far individual results scatter from the mean, not which direction they point. It is measured with standard deviation, and it is symmetrical: a strategy that occasionally gains 8% in a day is exactly as volatile as one that occasionally loses 8%. Volatility is therefore not risk. It is the multiplier that turns a given position size into a given amount of risk.",[14,952,17],{"id":16},[10,954,955],{},"Take the series of returns — per day, per month, or per trade — find the mean, and measure the typical distance from it.",[19,957,960],{"className":958,"code":959,"language":24},[22],"σ = √( Σ (rᵢ − r̄)² \u002F (n − 1) )\n\nrᵢ = return of period i\nr̄  = mean return across all n periods\nn  = number of periods\n",[26,961,959],{"__ignoreMap":28},[10,963,964],{},"Standard deviation comes out in the same units as the inputs: percent if you fed it percentages, account currency if you fed it per-trade profit and loss. To compare across timeframes it is scaled by the square root of time, which is why an annualised figure from daily data is multiplied by √252, the number of trading days in a year.",[10,966,967,968,971],{},"Two properties matter in practice. Volatility is ",[56,969,970],{},"not constant"," — it clusters, so quiet weeks are followed by quiet weeks and violent days arrive in groups. And it is the denominator of every risk-adjusted metric: the Sharpe ratio family divides return by exactly this number, which is how two strategies with the same gain end up rated very differently.",[14,973,94],{"id":93},[10,975,976,977,979],{},"Position size is meaningless without it. One lot of a pair moving 40 pips a day and one lot of a pair moving 140 pips a day are two completely different bets wearing the same label. Sizing by lots rather than by expected movement is the single most common way an account's risk profile drifts without the trader deciding anything, and it is why ",[102,978,497],{"href":496}," rules are written in currency risked rather than in lots.",[10,981,982,983,985],{},"Volatility is also what converts into ",[102,984,699],{"href":698},". Depth of decline is roughly volatility multiplied by exposure multiplied by time spent wrong. Halve the volatility of the instruments you trade and, at constant size, you halve the drawdown you have to survive — and the return along with it.",[10,987,988],{},"Finally, it changes underneath you. A strategy sized correctly in a calm quarter is oversized when volatility doubles, and it does not need to make a single new decision to become dangerous. Stops widen, spreads widen, and the same lot size now risks twice what it was authorised to risk.",[14,990,146],{"id":145},[10,992,993,994,997],{},"Across the public accounts on ShowMyTrades with trading history (August 2026), the median ",[56,995,996],{},"Sharpe Ratio is 0.05",". That is a return barely distinguishable from the noise around it: the middle account's average result per period is tiny compared with the dispersion of those periods.",[10,999,1000,1001,1003,1004,40,1007,1010,1011,1014],{},"The rest of the distribution reads the same way: median time-weighted return ",[56,1002,619],{},", median deepest drawdown ",[56,1005,1006],{},"9.7%",[56,1008,1009],{},"171 closed trades"," at a median length of ",[56,1012,1013],{},"2.4 hours",". Small edge, risk absorbed several times larger than the result produced.",[10,1016,1017,1018,1021,1022,1025,1026,1028],{},"Dispersion also explains the gap between how often these accounts win and what they end up with. The median win rate is ",[56,1019,1020],{},"68.8%"," and the median profit factor ",[56,1023,1024],{},"1.28",": most trades close green, and the minority that do not are large enough to consume most of the gain. ",[56,1027,622],{}," of accounts are positive over time — a majority, by a margin much thinner than the scatter of the results behind it.",[14,1030,175],{"id":174},[10,1032,1033,1034,1036,1037,1039,1040,132,1044,1046,1047,1051],{},"In ",[56,1035,184],{},", the ",[37,1038,188],{}," section shows ",[56,1041,1042],{},[102,1043,180],{"href":291},[56,1045,192],{}," one under the other. Standard Deviation there is printed in the account currency and measures the spread of individual trade results: a large figure next to a small ",[56,1048,1049],{},[102,1050,421],{"href":109}," is a strategy whose outcome depends heavily on which trades happen to land in the sample.",[10,1053,1054,1055,1057,1058,132,1061,1064,1065,1071],{},"The ",[56,1056,867],{}," panel carries ",[56,1059,1060],{},"Avg Daily %",[56,1062,1063],{},"Avg Monthly %"," on the two rows below Gain and Abs. Gain. Those are averages, so read them against the ",[56,1066,1067],{},[102,1068,1070],{"href":1069},"\u002Fguides\u002Fmonthly-returns-table-explained","Monthly Returns"," table, where the month-to-month scatter is visible directly: two accounts with the same average monthly percentage can have wildly different rows.",[10,1073,1054,1074,1077,1078,1081,1082,1084,1085,1087,1088,132,1090,1092],{},[56,1075,1076],{},"charts viewer"," is one panel that switches views: ",[37,1079,1080],{},"Growth by Trade"," makes clustering obvious, ",[37,1083,871],{}," shows what the dispersion cost. ",[56,1086,184],{}," adds ",[37,1089,477],{},[37,1091,480],{}," views, which show when results concentrate — usually when volatility does.",[14,1094,238],{"id":237},[50,1096,1097,1103,1109,1115],{},[53,1098,1099,1102],{},[56,1100,1101],{},"\"Volatility is risk.\""," Risk is the chance of a loss you cannot survive. Volatility is dispersion in both directions and says nothing about your capital base.",[53,1104,1105,1108],{},[56,1106,1107],{},"\"Low volatility means safe.\""," Strategies that sell tails — grids, martingales, unhedged carry — read as low volatility right up to the event they were built to lose to.",[53,1110,1111,1114],{},[56,1112,1113],{},"\"High Sharpe means a better trader.\""," It means better return per unit of dispersion, over the sample measured. With 171 trades the estimate is noisy.",[53,1116,1117,1120,1121,1124,1125,157],{},[56,1118,1119],{},"\"Volatility is a property of the instrument.\""," It is a property of the instrument ",[37,1122,1123],{},"and"," the period. The same pair changes regime several times a year, and pairs that share a currency change together — see ",[102,1126,1128],{"href":1127},"\u002Fglossary\u002Fwhat-is-forex-pair-correlation","forex pair correlation",[10,1130,1131,1132,157],{},"Volatility only matters once it becomes a real loss, and how that reads is covered in ",[102,1133,1134],{"href":927},"maximum drawdown explained",{"title":28,"searchDepth":278,"depth":278,"links":1136},[1137,1138,1139,1140,1141],{"id":16,"depth":278,"text":17},{"id":93,"depth":278,"text":94},{"id":145,"depth":278,"text":146},{"id":174,"depth":278,"text":175},{"id":237,"depth":278,"text":238},"Volatility is the dispersion of returns around their average, measured with standard deviation. It is not risk by itself, but it decides what a lot size means.",{},[537,536,938,1145],"what-is-forex-pair-correlation",{"title":945,"description":1142},"5.glossary\u002Fwhat-is-volatility","Volatility","Bayb0Tk2swP7kUxrPVVIleTDEsNs63g6l6-gKxo5cjE",1787415691034]