Sortino ratio; a better volatility measure?

Discussion in 'Trading' started by chaffcombe, Jun 30, 2006.

  1. I'm more active on the OANDA board, but I'm interested in considered opinions on this particular subject. For those who don't know me, in brief, I'm strictly an fx trader, who has been fully automated since Aug 2004. I've also publised my results every month since Jan 2004.

    Anyway I apologise for digressing; here's a copy of a post I put there.


    For those who are interested in this kind of thing, I have just published my June report, that includes a discussion on the relative merits of the Sortino ratio as a measure of performance volatility as compared to the more well known Sharpe ratio.

    I would have simply pasted the discussion, but it contains a table of figures that probably wouldn't format particularly well here.

    I'd be interested in hearing the views of any here who take an interest in metrics such as this.