Exercise

Evaluate strategy performance by Sortino ratio

The Sortino ratio is the excess return over the risk-free rate divided by the downside deviation, and thus it measures the excess return to "bad" volatility. In other words, it doesn't penalize the volatility of positive excess returns.

You will use the Sortino ratio to evaluate the same strategy from the previous exercise and see if it tells a different story. As a reminder, the strategy is a signal-based strategy using two moving average indicators. The strategy backtest statistic using Google 3-year historical stock price data has been loaded in resInfo. The Sharpe ratios have been printed for you and are visible in the console.

Instructions 1/2

undefined XP
    1
    2
  • Print the annual Sortino ratio from resInfo.
  • Print the monthly Sortino ratio from resInfo.