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Sortino Ratio as a Trading Strategy Performance Metric

Article Quant Q&A · Author: user3888784
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Summary

The document asks which measures can help evaluate a new trading strategy beyond average gain, average loss, and accuracy. Its only specific suggestion is the Sortino ratio, offered as a metric related to the Sharpe ratio. The response points readers to an external discussion for further detail, but that discussion’s contents are not included here.

This is a very limited source: it does not define the Sortino ratio, explain how to calculate it, compare it with other metrics, or provide examples or empirical evidence. It therefore serves mainly as a pointer to a possible risk-adjusted performance measure, rather than as a guide to strategy evaluation. Readers would need additional material to understand the ratio’s assumptions and practical use, and the document does not address the mathematical considerations raised in the question.

Key ideas

  • The Sortino ratio is suggested as a performance measure related to the Sharpe ratio.
  • The document gives no definition, calculation method, or worked example for the ratio.
  • The response does not compare the Sortino ratio with other strategy evaluation metrics.
  • The linked discussion is not reproduced, so the source provides little detail beyond the suggestion.

Tags

StatisticsRisk management
Full text
# Metrics to apply to trading strategies


# Metrics to apply to trading strategies












Other than average gain, average loss, and accuracy, what other metrics might be helpful if you were to attempt a new trading strategy? Is there any oddities of mathematics that you would take into consideration?

I understand this is a pretty generic question, just looking for different viewpoints on it. Please keep your answers productive, the back story on this is pretty vast, so that's why I'm keeping it simple, it's not just rambling, so feel free to ask questions to help me better pinpoint things.

Thanks!

## Answer by Bikenfly (score 0)

https://quant.stackexchange.com/a/59152

another metric, close to the Sharpe ratio is the Sortino Ratio

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.