Downside Deviation in Backtest Statistics

[jaredbroad]

Expected Behavior

Calculate the downside deviation on the conclusion of a backtest -- and ideally as an optimization parameter.

Add a rolling component to calculate the downside deviation on a period basis as well.

Actual Behavior

No statistic available.

Potential Solution

Add as a calculated statistic

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