On January 1st (2020) I have exactly $5,999,997 in my trading account. The risk-free rate in the US is 1% (for example).

Here are my trading results for 2020:

Month 1: -$0.50

Month 2: +$1,000,000

Month 3: -$0.50

Month 4: +$1,000,000

Month 5: -$0.50

Month 6: +$1,000,000

Month 7: -$0.50

Month 8: +$1,000,000

Month 9: -$0.50

Month 10: +$1,000,000

Month 11: -$0.50

Month 12: +$1,000,000

Total for 2020 : +$5,999,997 (a 100% return on capital)

The standard deviation of this system is 500000.25 and its Sharpe ratio is 0.

So according to the Sharpe ratio this is an extremely bad trading system, even though I doubled my money in 12 months and my losses are *ridiculously* small.