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Adds Sortino Ratio to Algorithm Statistics and Report

Open AlexCatarino opened this issue 3 years ago • 1 comments

Expected Behavior

The Sortino Ratio is available in Algorithm Statistics and Report.

Actual Behavior

The Sortino Ratio is not available in Algorithm Statistics and Report, but it is calculated in Lean.

Potential Solution

Adds the Sortino Ratio value to the results. It's a popular statistics metric that has been used in Alpha Streams portfolio optimization.

Checklist

  • [x] I have completely filled out this template
  • [x] I have confirmed that this issue exists on the current master branch
  • [x] I have confirmed that this is not a duplicate issue by searching issues
  • [x] I have provided detailed steps to reproduce the issue

AlexCatarino avatar May 24 '21 17:05 AlexCatarino

Thank you!

ikamanu avatar May 24 '21 21:05 ikamanu