Applying Sortino Ratio on PNL

Discussion in 'Risk Management' started by Rafa107, Dec 6, 2010.

  1. Rafa107


    I am simulating a dual moving average crossover to trade past data of an energy future contract.

    I have generated 150 trades and I would like to use those Profit and Loss data to calculate the Sortino Ratio. How can I do it?

    Is it better for me to use daily PNL (Including those days without trades and PNL = 0)? Or should I just use those 150 PNL data?

    And, what number should should I put for the risk free rate?


    And what benchmark should be used for comparison?