The single-month Sharpe ratio is out, 9.83😊 Slow is fast

Final Conclusion

A single-month Sharpe ratio of 9.83 is considered extremely high, far exceeding traditional assets and common strategies, which may reflect:

Perfect capture of short-term special opportunities (such as arbitrage, event-driven);

Deficiencies in risk models (such as underestimating volatility or ignoring tail risks);

Calculation errors or data anomalies.

Recommended Actions:

Verify data and calculations: Check the methods of calculating returns and volatility.

Stress testing: Simulate strategy performance under extreme market conditions.

Reduce leverage: If relying on high leverage, preventative measures against liquidity shocks are necessary.

Long-term observation: Confirm whether sustainability is achievable.

Risk Warning

Do not blindly chase high Sharpe ratios: Short-term high values may be luck rather than skill.

Specialty of the cryptocurrency market: High volatility and regulatory uncertainty may make historical data unreliable.

Comprehensive assessment of other indicators: Analyze strategy risks in conjunction with maximum drawdown, Sortino ratio, etc.