The Rolling Sharpe Gate filter is a pass/block gate on unannualized rolling Sharpe of simple returns. When Sharpe meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
Use it when other rules choose direction and you only want to allow them while recent mean/stdev of returns is in range. Prefer Rolling Sharpe when the Sharpe condition itself should emit a buy or sell side.
When to use it
- Only allow entries while rolling Sharpe stays above zero
- Block new risk when recent return quality collapses
- Confirm regime without adding a second directional rule
What you’ll set in the app
Add Rolling Sharpe gate under filters.
- Window — return bars in the sample (default 20)
- Compare — Sharpe >, <, ≥, ≤, or ≈
- Threshold — e.g.
0(default)
Warm-up history or zero return stdev blocks the gate. Disabled passes.
Tips
- Not annualized—thresholds are bar mean/stdev, not portfolio Sharpe.
- There is no “side when true”—pair with RSI, MACD, or other signal rules for direction.
- For a directional Sharpe signal, use Rolling Sharpe.
Example
Entry filters: Rolling Sharpe gate, window 20, Sharpe > 0. A breakout long only passes when recent unannualized Sharpe is positive.