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Sortino ratio ?
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Created: by Virtuose1 Attachments:2

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Sortino ratio ?

  #1 (permalink)
Elite Member
Montreal, Qc, Canada
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Interactive Brokers/Kinetick
Favorite Futures: ETF
 
Virtuose1's Avatar
 
Posts: 38 since Jun 2011
Thanks: 114 given, 27 received

Sortino ratio ?

Do you track the sortino ratio for your actual trading results (btw easy to generate with InteractiveBrokers) and what would you consider a good ratio for day trading (not swing trading)? Those who have a long term (+3 years) track record, please feel free to share your actual sortino ratio ! Thanks

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  #3 (permalink)
Elite Member
Montreal, Qc, Canada
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Interactive Brokers/Kinetick
Favorite Futures: ETF
 
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Posts: 38 since Jun 2011
Thanks: 114 given, 27 received


This question didn't generate any responses which I'm a bit surprised as I think this is an important measure to track. Attached is a picture from a related post from Meb Faber which shows that over time, very few traders can keep their Sharpe Ratio above 1.
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Elite Member
Montreal, Qc, Canada
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Interactive Brokers/Kinetick
Favorite Futures: ETF
 
Virtuose1's Avatar
 
Posts: 38 since Jun 2011
Thanks: 114 given, 27 received

Benchmarks

For anyone interested in these kind of metrics, attached are some benchmarks. How does it compare with your trading results over the last year ? Over multiple years ? (again if you use Interactive Brokers you can generate this metric easily within PortfolioAnalyst).

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