Benchmark Sortino

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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illuminati
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Joined: Sun Apr 15, 2012 12:52 am

Benchmark Sortino

Post by illuminati » Wed Apr 25, 2012 4:15 pm

The benchmark for sharpe and MAR is 1. Whats the benchmark for sotino? What are peopls opinion on using this as a goodness measure over sharpe for LTTF?

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