Sortino, daily
Forge API 1
The return per unit of downside swing, scaled to a year.
the mean of the daily returns divided by the downside deviation, the square root of the mean squared shortfall below zero taken over every day, times the square root of the periods in a year
Annualised: Daily returns are scaled to a year by the trading days the run's own data contains in a year, measured from the days its bars fall on.
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