Kimi Invest — Stats for Nerds

Sharpe Ratio

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Return per unit of total risk. Measures how much return you're getting for the volatility you're taking on. Higher is better. Above 1.0 is good; above 2.0 is exceptional.

Sortino Ratio

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Return per unit of downside risk only. Like Sharpe, but ignores upside volatility — only penalizes losing trades. A fairer measure for strategies that occasionally have big wins.

How these are calculated

Both ratios are computed per-trade (not annualized), using each closed SPY round-trip as one observation. The minimum acceptable return (MAR) is set to 0% — meaning any losing trade counts against the downside deviation.

Sharpe = mean trade return ÷ standard deviation of all trade returns.

Sortino = mean trade return ÷ downside deviation (standard deviation of losing trades only, measured against MAR=0).

Because these are per-trade rather than annualized, values will differ from annualized versions you'd see on fund fact sheets. Per-trade ratios are more stable with a small trade count and more honest than extrapolating an annualized number from a few months of data.