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QuantOracle Probabilistic Sharpe Ratio
x402
QuantOracle Probabilistic Sharpe Ratio is a paid API for AI agents from api.quantoracle.dev, paid per call via x402, $0.005/call, status unknown (last checked 2026-09-14).
Computes the Probabilistic Sharpe Ratio (PSR) — a statistically adjusted Sharpe that accounts for non-normality of returns, with significance tests and minimum track record length.
Price / call$0.005
Success—
StatusUnknown
How this service works
QuantOracle: stats/probabilistic-sharpe
Output
Returns the probabilistic Sharpe ratio (PSR), annualized Sharpe ratio, z-score against benchmark Sharpe, skewness and excess kurtosis of returns, standard error of Sharpe, significance flags at 95% and 99% confidence levels, minimum track record length required to confirm the Sharpe, number of observations, and computation latency in milliseconds.
Example use cases
Example prompt
“Calculate the Probabilistic Sharpe Ratio for this daily return series — [0.001, 0.0015, -0.0008, 0.002, 0.0012, -0.0005, 0.0018, 0.001, 0.0014, -0.0003, 0.0016, 0.0011, -0.0007, 0.0019, 0.0013, 0.0009, -0.0004, 0.0017, 0.0012, 0.0015] — using a risk-free rate of 5%, benchmark Sharpe of 1, and annualization factor of 252, and tell me if it's statistically significant at the 95% and 99% levels and what the minimum track record length is.”
Technical details
Endpoint
POSThttps://api.quantoracle.dev/v1/stats/probabilistic-sharpeWhen to prefer
Use this endpoint when you need a statistically rigorous, non-normality-adjusted Sharpe ratio rather than the raw Sharpe. Prefer it when validating whether a strategy's performance is genuinely significant (not luck), especially for return distributions with skewness or fat tails. Choose this over the basic stats/sharpe-ratio endpoint when you also need significance testing, minimum track record length, and PSR output for investor reporting or strategy selection.
Side effects
- Insufficient return observations (too few data points for stable skewness/kurtosis estimation)
- Invalid risk-free rate format or out-of-range value
- benchmark_sharpe missing or non-numeric causing comparison failure
- Returns array containing nulls or non-numeric values
- annualization_factor of zero causing division error
- Negative variance in returns series causing undefined Sharpe
Input
{
"input": {
"body": {
"returns": [
0.001,
0.0015,
-0.0008,
0.002,
0.0012,
-0.0005,
0.0018,
0.001,
0.0014,
-0.0003,
0.0016,
0.0011,
-0.0007,
0.0019,
0.0013,
0.0009,
-0.0004,
0.0017,
0.0012,
0.0015
],
"risk_free_rate": 0.05,
"benchmark_sharpe": 1,
"annualization_factor": 252
},
"type": "http",
"method": "POST",
"bodyType": "json"
}
}Schema · Request body
| Field | Type | Description |
|---|---|---|
| returns | array | Array of portfolio returns |
| risk_free_rate | number | Annual risk-free rate |
| benchmark_sharpe | number | Benchmark Sharpe ratio to test against |
| annualization_factor | integer | Trading days per year for annualization |
Output
{
"n": 20,
"ms": 12.28,
"_meta": {
"url": "https://quantoracle.dev",
"docs": "https://api.quantoracle.dev/docs",
"calculator": "https://quantoracle.dev/probabilistic-sharpe-ratio-calculator",
"powered_by": "QuantOracle"
},
"z_score": 2.4769,
"skewness": -0.9068,
"se_sharpe": 4.627756,
"sharpe_ratio": 12.4624,
"excess_kurtosis": -0.6307,
"benchmark_sharpe": 1,
"significant_at_95": true,
"significant_at_99": true,
"min_track_record_length": 11,
"probabilistic_sharpe_ratio": 0.9934
}Tags
x402
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