Sortino ratio ?

October 15th, 2015, 08:02 PM

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

February 1st, 2016, 10:15 AM

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.

March 4th, 2016, 09:45 PM

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).

Sortino ratio ?

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Sortino ratio ?