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Table of Contents
Sharpe Ratio

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  1. Daily Returns is (Change in Value / Yesterday's Value) and not Log(P2/P1)
  2. All calculations ignore any impact of leverage and cost of financing (i.e. interest paid on loans). This means that Canopy calculated calculates Sharpe Ratios assuming all positions are unleveraged

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Volatility is a measure of  variation of a trading price series over time. It can be calculated on individual securities or indices or on entire strategies. Canopy uses the methodology suggested by Motley Fool (and therefore we use Standard Deviation of Daily Returns and not log of P2/P1).