Sortino ratio indicator - - Trading Software

Sortino ratio indicator -

Kiran
2015-04-23 18:54:33

Per definition, Sortino ratio calculates the Downside Standard Deviation by discarding all +ve returns (or returns > "risk-free rate") in the calculation of Std Dev.

I looked at the code of the Sortino ratio indicator function in http://www.quantshare.com/item-1146-sortino-ratio-of-an-asset
and it seems to be throwing away all returns > Average return (not 0 or risk-free rate). This would distort the interpretation of Sortino ratio.

See the code snippet below (trading object also attached) that states - if(ret[j] < avg) { dsdv = dsdv + Math.Pow(ret[j] - avg, 2); }
- Am I missing something?

VectorD ret = TA.Perf(close, 1);

for(int i=0;i<result.Length;i++)
{
int index = i - (int)period[0] + 1;
double avg = 0;
int count = 0;
if(index <= 0)
{
result[i] = double.NaN;
}
else
{
for(int j=index;j<=i;j++)
{
avg = avg + ret[j];
count++;
}
if(count != 0)
{
avg = avg / count;

double dsdv = 0;
for(int j=index;j<=i;j++)
{
if(ret[j] < avg)
{
dsdv = dsdv + Math.Pow(ret[j] - avg, 2);
}
}
dsdv = (Math.Sqrt(dsdv / (count - 1)) * Math.Sqrt(250)) / 100;
double ret1 = Math.Pow(close[i] / close[index-1], (365.5 / (double)count)) - 1;
if(dsdv != 0)
{
result[i] = ret1 / dsdv;
}
}
else
{
result[i] = 0;
}
}
}

cFunctions.SetForwardAndBackwardBars((int)period[0], 0);

Sortino Ratio of an Asset (by QuantShare, uploaded several months ago)

No notes

QuantShare
2015-04-24 02:34:00

No risk free rate was used in this version, only returns below zero are discarded.

Get more messages

No more messages

Back


Trading Items Sortino Ratio of an Asset Large Block Ratio Indicator Variance Ratio - Trading Indicator Bull Bear Ratio - Stock Market Indicator Volatility Ratio - Technical Indicator	How-to Lessons How to plot put/call ratio of individual stocks How to dynamically update the settings of an indicator How to create a moving average of an indicator How to add a trading indicator to a chart How to optimize an indicator in your trading system
Related Forum Threads VIX Indicator and Put/Call Ratio Indicator for NSE NIFTY Stock or industry relative strenght : Indicator or composite ? Custom Indicator to write and execute an Indicator Retrieving or storing previous indicator result.	Blog Posts How to create a ratio indicator using QS Trading Software Sharpe Ratio - Part 2 Put-Call Ratio for Individual Stocks Trading System: Buy Stocks based on their Sharpe Ratio Rank Trading System: Buy stocks with the highest Sharpe ratio