Omega ratio
The sum of all gains divided by the sum of all losses around a threshold.
Formula
Omega = Σ gains above θ ÷ Σ losses below θ
How to read it
Above 1 means gains outweighed losses. Unlike the Sharpe ratio it uses every return, not just the average and the spread.
How to use it
Captures the whole shape of the return distribution — useful when returns are skewed and the Sharpe ratio would mislead.
In Kereon
Strategies. Over the backtest's daily returns with θ = 0.
Investing · price record. Over the symbol's daily returns with θ = 0.
Also called: omega, omega ratio.