Calmar Ratio
Definition
The ratio of annualized return to maximum drawdown. It measures how efficiently a strategy generates returns relative to its worst decline.
Example
A Calmar ratio of 2.0 means the strategy's annual return is twice its worst drawdown — a good risk/reward profile.
How Gilito AI Uses It
Calmar ratio helps identify strategies that deliver strong returns without catastrophic drawdowns, contributing to the overall Gilito Score.