ReferencesStrategyTradeCollectionTradesPerformance

SortinoRatio

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Definition

Returns the Sortino ratio using a risk free return.

Property Value

A double value that represents the Sortino ratio using a risk free return.

Syntax

\<tradecollection\>.TradesPerformance.SortinoRatio

Examples

protected override void OnBarUpdate()
{
     // Set a 0% risk free return
     SystemPerformance.AllTrades.TradesPerformance.RiskFreeReturn = 0;
     // Print out the Sortino ratio of all trades based on a zero risk free return
     Print("Sortino ratio is: " + SystemPerformance.AllTrades.TradesPerformance.SortinoRatio);
}