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Adds Sortino Ratio to Algorithm Statistics and Report
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
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- [x] I have provided detailed steps to reproduce the issue
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