I've tried using Average(return)/StdDev(return) and it seems to work. I just want to see a measure of equity curve smoothness. Are there any downsides to this?

  • $\begingroup$ If I understood, you are assuming $r_f=0$. This can be justified in two ways. (1) Nowadays $r_f$ is very low, near zero, so 0 good enough in practice. (2) If you are trading derivatives such as futures (like I do) then setting $r_f\equiv 0$ is theoretically correct because of the nature of derivatives (unfunded instruments). $\endgroup$ – noob2 Jun 21 '20 at 17:36

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