Supported Indicators
Sortino Ratio
Introduction
Calculation of the Sortino Ratio, a modification of the
To view the implementation of this indicator, see the LEAN GitHub repository.
Using SORTINO Indicator
To create an automatic indicators for SortinoRatio
, call the SORTINO
helper method from the QCAlgorithm
class. The SORTINO
method creates a SortinoRatio
object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize
method.
public class SortinoRatioAlgorithm : QCAlgorithm { private Symbol _symbol; private SortinoRatio _sortino; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _sortino = SORTINO(_symbol, 22); } public override void OnData(Slice data) { if (_sortino.IsReady) { // The current value of _sortino is represented by itself (_sortino) // or _sortino.Current.Value Plot("SortinoRatio", "sortino", _sortino); } } }
class SortinoRatioAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.sortino = self.SORTINO(self.symbol, 22) def OnData(self, slice: Slice) -> None: if self.sortino.IsReady: # The current value of self.sortino is represented by self.sortino.Current.Value self.Plot("SortinoRatio", "sortino", self.sortino.Current.Value)
The following reference table describes the SORTINO
method:
SORTINO()1/1
SortinoRatio QuantConnect.Algorithm.QCAlgorithm.SORTINO (Symbol
symbol,Int32
sortinoPeriod,*Double
minimumAcceptableReturn,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates a new Sortino indicator.
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a SortinoRatio
indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update
method with time/number pair, or an IndicatorDataPoint
. The indicator will only be ready after you prime it with enough data.
public class SortinoRatioAlgorithm : QCAlgorithm { private Symbol _symbol; private SortinoRatio _sortino; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _sortino = new SortinoRatio(22); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _sortino.Update(bar.EndTime, bar.Close); } if (_sortino.IsReady) { // The current value of _sortino is represented by itself (_sortino) // or _sortino.Current.Value Plot("SortinoRatio", "sortino", _sortino); } } }
class SortinoRatioAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.sortino = SortinoRatio(22) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.sortino.Update(bar.EndTime, bar.Close) if self.sortino.IsReady: # The current value of self.sortino is represented by self.sortino.Current.Value self.Plot("SortinoRatio", "sortino", self.sortino.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class SortinoRatioAlgorithm : QCAlgorithm { private Symbol _symbol; private SortinoRatio _sortino; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _sortino = new SortinoRatio(22); RegisterIndicator(_symbol, _sortino, Resolution.Daily); } public override void OnData(Slice data) { if (_sortino.IsReady) { // The current value of _sortino is represented by itself (_sortino) // or _sortino.Current.Value Plot("SortinoRatio", "sortino", _sortino); } } }
class SortinoRatioAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.sortino = SortinoRatio(22) self.RegisterIndicator(self.symbol, self.sortino, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.sortino.IsReady: # The current value of self.sortino is represented by self.sortino.Current.Value self.Plot("SortinoRatio", "sortino", self.sortino.Current.Value)
The following reference table describes the SortinoRatio
constructor:
SortinoRatio()1/2
SortinoRatio QuantConnect.Indicators.SortinoRatio (string
name,int
period,*double
minimumAcceptableReturn )
Creates a new Sortino Ratio indicator using the specified periods.
SortinoRatio()2/2
SortinoRatio QuantConnect.Indicators.SortinoRatio (int
period,*double
minimumAcceptableReturn )
Creates a new SortinoRatio indicator using the specified periods.
Visualization
The following image shows plot values of selected properties of SortinoRatio
using the plotly library.
