SortinoRatio

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

1 protected override void OnBarUpdate()
2 {
3      // Set a 0% risk free return
4      SystemPerformance.AllTrades.TradesPerformance.RiskFreeReturn = 0;
5 
6      // Print out the Sortino ratio of all trades based on a zero risk free return
7      Print("Sortino ratio is: " + SystemPerformance.AllTrades.TradesPerformance.SortinoRatio);
8 }