Max Sortino (Ratio Optimization Fitness Metrics)

[elopezh]

Hello,

Please, could you confirm the calculation formula of the sortino Ratio?
In the help guide, the formula (image) is the same as the UPI (Ulcer performance Index), is it true?

On the other hand, the default RiskFreeReturn of NT8 is 0?

Thanks

[NinjaTrader_Kate]

Hello elopezh,

Thank you for your post.

No, the Sortino ratio simply uses the monthly Ulcer index in its calculations. The ulcer index is calculated a bit differently depending on what is is calculated in.

Currency	SQRT(Summation((cumulative currency profit - maximum realized currency profit) ^2 ) / Total # of trades)
Percent	SQRT(Summation((1 + cumulative percent profit / (1 + maximum realized percent profit) - 1) ^2 ) / Total # of trades)
Points	SQRT(Summation((cumulative point profit - maximum realized point profit) ^2 ) / Total # of trades)
Pips	SQRT((Summation((cumulative point profit - maximum realized point profit) ^2) / PipSize ) / Total # of trades)
Ticks	SQRT((Summation((cumulative point profit - maximum realized point profit) ^2) / TickSize ) / Total # of trades)

https://ninjatrader.com/support/helpGuides/nt8/index.html?statistics_definitions.htm#UnderstandingUlcerIndex

NinjaTrader presets the risk free rate of return to 0, however, this can be changed by users in a NinjaScript indicator or strategy before calculating the Sortino ratio or Sharpe Ratio:

https://ninjatrader.com/support/helpGuides/nt8/riskfreereturn.htm

Please let us know if we may be of further assistance to you.

[elopezh]

Good morning,

I understand; however it is true in my opinion, that if NT calculates the "Sortino Ratio" (image) with a formula, I should use the same formula in the "Max Sortino Ratio" optimization.

On the other hand, is there any optimization metric for Ulcer Index or Ulcer Performance Index?, I have checked in the forum and I have not seen anything....
Thanks

[NinjaTrader_Kate]

Hello elopezh,

Thank you for your reply.

You can opt to use the Ulcer Ratio to optimize on during an optimization, yes. There's 3 options for this (long, short, or all trades) in the Optimize on dropdown.

Please let us know if we may be of further assistance to you.