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Add Sortino ratio to statistics and report (#6698)
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* Add Sortino ratio to statistics and report

* Adds Sortino Ratio to Report Key Statistics

* Addresses Peer-Review

Reuse `SharpeRatioReportElement` and change the template.

* Reuse Calculations Across Statistics and PortfolioStatistics

* Adds Sortino Ratio to Regression Algorithms

* Removes Sortino Ratio from Optimization Result Table

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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
This commit is contained in:
Derek Melchin
2023-12-12 17:06:13 -07:00
committed by GitHub
parent fd2a8f84b9
commit eefa74baaa
463 changed files with 642 additions and 44 deletions
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Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs
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@@ -139,6 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
{"Expectancy", "0"},
{"Net Profit", "-10.343%"},
{"Sharpe Ratio", "-1.708"},
{"Sortino Ratio", "-1.361"},
{"Probabilistic Sharpe Ratio", "0.009%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},