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Sortino ratio ?


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Sortino ratio ?

  #1 (permalink)
 
Virtuose1's Avatar
 Virtuose1 
Montreal, Qc, Canada
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Experience: Advanced
Platform: NinjaTrader 7
Broker: Interactive Brokers
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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)
 
Virtuose1's Avatar
 Virtuose1 
Montreal, Qc, Canada
Elite Member
 
Experience: Advanced
Platform: NinjaTrader 7
Broker: Interactive Brokers
Trading: ETF
Posts: 58 since Jun 2011
Thanks Given: 142
Thanks Received: 42


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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Virtuose1's Avatar
 Virtuose1 
Montreal, Qc, Canada
Elite Member
 
Experience: Advanced
Platform: NinjaTrader 7
Broker: Interactive Brokers
Trading: ETF
Posts: 58 since Jun 2011
Thanks Given: 142
Thanks Received: 42

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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Last Updated on March 4, 2016


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