FAQs

Sortino Ratio FAQs

Sortino vs. Sharpe—when use which?

Sharpe penalizes total volatility; Sortino penalizes only downside. Use Sortino when negative swings matter more than upside noise.

What should I use for MAR?

Risk-Free is a robust default. Use a Custom per-period hurdle to reflect a strategy target (e.g., 0.05% per bar).

Simple or Log returns?

Log handles large moves and cross-asset comparisons better; Simple is fine for stable, small step changes.

Do percentile bands repaint?

No. Bands are computed from the rolling history up to the calibration window; values lock after bar close.

Why does Sortino jump when I change MAR or return type?

Because both the numerator (excess vs. MAR) and the denominator (downside deviation below MAR) depend on those choices—pick settings that match your objective and keep them consistent across comparisons.