Calculation of the Sortino Ratio, a modification of the SharpeRatio. More...
Public Member Functions | |
| SortinoRatio (string name, int period, double minimumAcceptableReturn=0) | |
| Creates a new Sortino Ratio indicator using the specified periods More... | |
| SortinoRatio (int period, double minimumAcceptableReturn=0) | |
| Creates a new SortinoRatio indicator using the specified periods More... | |
 Public Member Functions inherited from QuantConnect.Indicators.SharpeRatio | |
| SharpeRatio (string name, int period, IRiskFreeInterestRateModel riskFreeRateModel) | |
| Creates a new Sharpe Ratio indicator using the specified periods More... | |
| SharpeRatio (int period, IRiskFreeInterestRateModel riskFreeRateModel) | |
| Creates a new Sharpe Ratio indicator using the specified periods More... | |
| SharpeRatio (string name, int period, PyObject riskFreeRateModel) | |
| Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model More... | |
| SharpeRatio (int period, PyObject riskFreeRateModel) | |
| Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model More... | |
| SharpeRatio (string name, int period, decimal riskFreeRate=0.0m) | |
| Creates a new Sharpe Ratio indicator using the specified periods More... | |
| SharpeRatio (int period, decimal riskFreeRate=0.0m) | |
| Creates a new SharpeRatio indicator using the specified periods More... | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Additional Inherited Members | |
| Public Attributes inherited from QuantConnect.Indicators.SharpeRatio | |
| override bool | IsReady => Ratio.Samples > _period |
| Returns whether the indicator is properly initialized with data More... | |
| Protected Member Functions inherited from QuantConnect.Indicators.SharpeRatio | |
| override decimal | ComputeNextValue (IndicatorDataPoint input) |
| Computes the next value for this indicator from the given state. More... | |
| Properties inherited from QuantConnect.Indicators.SharpeRatio | |
| RateOfChange | RateOfChange [get] |
| RateOfChange indicator for calculating the sharpe ratio More... | |
| Identity | RiskFreeRate [get] |
| RiskFreeRate indicator for calculating the sharpe ratio More... | |
| IndicatorBase | Ratio [get, set] |
| Indicator to store the calculation of the sharpe ratio More... | |
| IndicatorBase | Numerator [get] |
| Indicator to store the numerator of the Sharpe ratio calculation More... | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
Calculation of the Sortino Ratio, a modification of the SharpeRatio.
Reference: https://www.cmegroup.com/education/files/rr-sortino-a-sharper-ratio.pdf Formula: S(x) = (R - T) / TDD Where: S(x) - Sortino ratio of x R - the average period return T - the target or required rate of return for the investment strategy under consideration. In Sortino’s early work, T was originally known as the minimum acceptable return, or MAR. In his more recent work, MAR is now referred to as the Desired Target Return. TDD - the target downside deviation. TargetDownsideDeviation
Definition at line 31 of file SortinoRatio.cs.
Constructor & Destructor Documentation
◆ SortinoRatio() [1/2]
| QuantConnect.Indicators.SortinoRatio.SortinoRatio | ( | string | name, |
| int | period, | ||
| double | minimumAcceptableReturn = 0 |
||
| ) |
Creates a new Sortino Ratio indicator using the specified periods
- Parameters
-
name The name of this indicator period Period of historical observation for Sortino ratio calculation minimumAcceptableReturn Minimum acceptable return for Sortino ratio calculation
Definition at line 39 of file SortinoRatio.cs.
◆ SortinoRatio() [2/2]
| QuantConnect.Indicators.SortinoRatio.SortinoRatio | ( | int | period, |
| double | minimumAcceptableReturn = 0 |
||
| ) |
Creates a new SortinoRatio indicator using the specified periods
- Parameters
-
period Period of historical observation for Sortino ratio calculation minimumAcceptableReturn Minimum acceptable return for Sortino ratio calculation
Definition at line 51 of file SortinoRatio.cs.
The documentation for this class was generated from the following file:
- Indicators/SortinoRatio.cs
