Bitcoin rolling Sharpe ratio

Return per unit of risk, scored as a contrarian

On 2026-08-25 the Fraktalicious cycle model scored the rolling Sharpe ratio at 0.000 — neutral — and gave it an effective weight of 0.040. That is a contribution of 0.0000 to the day's raw composite of −0.0060, the 11th-largest of the 15 signals carrying weight today.

What the rolling Sharpe ratio is

The Sharpe ratio is excess return divided by volatility. Here it is computed over a rolling 90 days of daily log returns, net of an assumed 4.5% annual return on cash, and annualised. A high reading means the market has been going up smoothly; a low one means it has been going nowhere, or going up violently.

Every other measurement on this site describes valuation, behaviour or structure. This one describes the quality of the ride, which turns out to be information of its own.

How this model uses it

The scoring is contrarian and, unusually, not monotonic. A Sharpe above 3 scores −0.6 and above 2 scores −0.3, while the band from 1 to 2 scores +0.2 and the band from 0.5 to 1 only +0.1. Most strikingly, a Sharpe between −1 and −0.5 also scores +0.2 — better than a mildly positive one. Excellent risk-adjusted return is treated as a late-cycle condition rather than a green light, and a grinding, unrewarding tape is treated as the ordinary texture of accumulation.

It is also one of the small number of signals whose weight no regime ever changes. Most of the table is scaled up or down by the regime classifier; this one holds the same weight in a parabola, a bull, a bear and an accumulation. Whether that is a considered decision or an omission is not recorded anywhere in the code, and it is stated here as the fact it is rather than the rationale it might be.

Where today sits in its own history

Every figure in this table is measured over the model's full graded replay — 5,051 days from 2012-10-27 to 2026-08-25 — and re-measured on every daily refresh.

What this does not tell you

• the rolling Sharpe ratio is one of the 15 signals that carried weight on 2026-08-25. On most days it is not the signal that decides anything, and the composite regularly disagrees with it.
• Ninety daily returns is ninety observations, and a volatility estimate from ninety noisy observations is not a stable number. The ratio can improve substantially because volatility fell while price went nowhere, which is not the situation the score is trying to describe.
• The graded model and the live display path do not compute this identically. They use different variance conventions, and they disagree on the high-Sharpe tiers — the live version treats a Sharpe above 3 as only mildly cautionary where the graded one treats it as strongly cautionary. Neither discrepancy is flagged in the code. The figures on this page come from the graded replay, and the backtested record describes that version only.
• A Sharpe ratio assumes returns worth summarising by a mean and a standard deviation. Bitcoin's are not: the distribution is fat-tailed enough that the single worst week in a window can dominate the denominator, so the same underlying market can score very differently depending on where the ninety-day boundary happens to fall.
• The number that drives the model's allocation is the composite, not this signal. Today's published composite is −0.0060. The current call, and every call before it, is on the call ledger — hash-chained the day it was made and never edited.