Sortino Ratio

[Shiva Swinger]

Does Ray have plans for adding the Sortino ratio to the Performance summary. It is helpful for daytrading.


One of the problems with using the Sharpe ratio is that it punishes trading systems for having a high upside volatility profile. It can be argued that upside volatility is of no concern, as that means large positive monthly gains in the distribution of returns., and there is a risk measure which eliminates the upside volatility skew from the Sharpe ratio by using the volatility of negative returns only. This measure is called the Sortino ratio.

Stewart

[Shiva Swinger]

Finally to add to this is the Sterling ratio. here is some info on it below. Maybe Ray can put it on his list of added features for a coming version. Seems the best trading system pros all like to know the Sharpe, Sortino and Sterling ratios. Well as Ninja is the best execution platform it deserves them all. My opinion.

Thanks

Stewart


The Sharpe and Sortino ratios have a flaw, however, in that they view the volatility of returns as the main ingredient of risk. This speaks nothing of what sort of drawdown had to be encountered to get the return. As many trading system investors can attest to, it is the drawdown period which represent the most risky part of the investment, not the volatility of returns. The Sterling ratio measures returns divided by risk (as measured by drawdown).

[NinjaTrader_Dierk]

Thanks for your suggestion. I will add to the list.

Could you please provide some links concerning Sterling and Sortino ratio?

Thanks