Well, you can derive that from your performance report.

(Annualized) Sharpe Ratio = (Annual return - risk free rate)/ Annualized Stdev (a.k.a. Annualized volatility).

Zorro uses a risk-free rate of zero. Therefore, StDev = AR / Sharpe.

For example, if AR is 40% and Sharpe is 1.5, then StDev = 40% / 1.5 = 26.7%.

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