sortino_ratio
Get Sortino Ratio.
For method & terminology see: http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
obb.quantitative.sortino_ratio(data: Union[list, dict, pd.DataFrame, List[pd.DataFrame], pd.Series, List[pd.Series], numpy.ndarray, Data, List[Data]], target: str, target_return: float = 0.0, window: int = 252, adjusted: bool = False)
Parameters
- Standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| data | List[Data] | Time series data. | None | False |
| target | str | Target column name. | None | False |
| target_return | float | Target return, by default 0.0 | 0.0 | True |
| window | PositiveInt | Window size, by default 252 | 252 | True |
| adjusted | bool | Adjust sortino ratio to compare it to sharpe ratio, by default False | False | True |
Returns
Sortino ratio.