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Sortino Ratio Calculation-Possible Bug.

For any participant on any leader board the value of Sortino Ratio is negative.

17
Backtest Score
69.57
27
Annual Returns
18.58%
127
Annual Volatility
13.06%
33
Sharpe
1.372
59
Max Drawdown
-7.543%
52
Stability
0.8813
118.0
Sortino Ratio
-14.94

66
Beta
0.01690
Correlation
-0.2225%

5
Annual Returns
73.22%
87
Annual Volatility
12.12%
1
Sharpe
4.624
54
Max Drawdown
-4.209%
9
Stability
0.9234
123.0
Sortino Ratio
-13.96

99
Beta
0.01023
Correlation
5.002%

223
Paper Trading Score
25.50
209
Annual Returns
-31.35%
212
Annual Volatility
78.55%
152
Sharpe
-0.1048
220
Max Drawdown
-35.28%
150
Stability
0.2779
12.0
Sortino Ratio
-6.175

215
Beta
2.965
Correlation
9.293%

4 responses

Hi Vladimir,

Thank you for reporting this. We're looking into it.

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While we're at it: The betas are now allowed to be negative (used to be the absolute value), while the ranking scheme for the beta is still "the lower the better", i.e. -20% beta is now better than 0% beta.

Frederik,

Not only, what you mention.
I see on my screen shots that Beta 0.01690 has rank 66 and better Beta 0.01023 has rank 99 ???

66
Beta
0.01690

99
Beta
0.01023

Complete mess on leaderboard

236
Annual Returns
-0.1063%
444
Annual Volatility
961.7%
71
Sharpe
2.393 <--With annRet_pt=-0.1063% annVol_pt 961.7% ???

96
Max Drawdown
-0.1461%
340
Stability
0.01228
36.0
Sortino Ratio
8.940 <--With annRet_pt=-0.1063% ???
1
Beta
-31.40 <--beta_spy_pt -31.40 ranked #1

Correlation
-4.002%