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Performance Comparison Tool

Compare two strategies on CAGR, drawdown, Sharpe and Calmar side by side and see which wins on risk-adjusted terms.

Quick answer: The performance comparison tool puts two strategies next to each other on the metrics that matter — return, drawdown and risk-adjusted return — and highlights which one leads on each. It computes each strategy's Calmar ratio from your inputs and gives a plain verdict based on the risk-adjusted measures, so you are not fooled by a higher headline CAGR that came with a far deeper drawdown.

A · CAGR (%)A · Max drawdown (%)A · Sharpe

B · CAGR (%)B · Max drawdown (%)B · Sharpe

How to use it

Enter each strategy's annualised return, maximum drawdown and Sharpe ratio. The tool builds a side-by-side table, highlights the better value on each row (higher CAGR and Sharpe, lower drawdown), computes each Calmar ratio, and gives a verdict weighted toward the risk-adjusted measures. It compares the numbers you supply, not the honesty of the backtests behind them.

Formula

Calmar = CAGR ÷ Max drawdown ; winner per metric = better of the two (higher return/Sharpe/Calmar, lower drawdown)

The verdict counts wins on Sharpe and Calmar, the two risk-adjusted measures, because raw CAGR ignores the risk taken to earn it.

Frequently asked questions

Why not just pick the strategy with the higher return?

Because a higher CAGR often comes with a deeper drawdown, more leverage or more risk. A strategy returning 22% with a 28% drawdown may be worse to live with and riskier than one returning 15% with an 11% drawdown. Risk-adjusted measures like Sharpe and Calmar capture this trade-off.

Which metric should decide the winner?

No single metric should. This tool leans on Sharpe and Calmar because they combine return and risk, but the right choice also depends on your risk tolerance, the strategies' correlation, and which backtest you trust more. Treat the verdict as a prompt, not a ruling.

Can I compare more than two strategies?

This tool compares two at a time, which is the clearest way to reason about a trade-off. To rank several, compare them pairwise, or list their Calmar and Sharpe figures and sort — but remember that reported metrics from different tests may not be measured the same way.

Does a higher Sharpe always mean a better strategy?

Not always. Sharpe can be inflated by a short benign sample, by non-normal returns, or by strategies that sell tail risk and look smooth until they blow up. Read it alongside drawdown and the nature of the strategy, which is why this tool shows several metrics.

Are the two backtests necessarily comparable?

Only if they were tested over the same period, universe, cost model and methodology. If one was tested on a calmer decade or with no costs, its metrics will look better for reasons that have nothing to do with a real edge. This tool cannot detect that; you must check it.

Runs entirely in your browser — no data leaves your device. Illustrative and educational only; real-world charges and market conditions apply in practice.