What is Sortino ratio?
Average return above a small risk-free rate (about 0.026% per trade, an RBI repo-rate proxy), divided by how far the weaker trades fell short of that rate. Higher is better. Not annualised.
Also known as: sortino.
In the Qortle glossary · Performance (Winners)
Average return above a small risk-free rate (about 0.026% per trade, an RBI repo-rate proxy), divided by how far the weaker trades fell short of that rate. Higher is better. Not annualised.
Also known as: sortino.