Sortino

Risk-Adjusted Performance Rankings | NickJoan Risk-Adjusted Performance Rankings | NickJoan Core Idea Risk-Adjusted Performance Rankings is a multi-asset comparison dashboard designed to rank up to 15 symbols by how efficiently they convert recent price movement into risk-adjusted return. Instead of looking only at raw price performance, the indicator evaluates three classic performance measures: Sharpe, Sortino and Omega over a user-defined lookback window and organizes the results into a table. The script can be used in two ways: • As

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Strategy Sensitivity Matrix The Strategy Sensitivity Matrix is an institutional-grade backtesting tool designed to evaluate the robustness and parameter sensitivity of trend-following strategies. It enables users to compare the historical performance of a broad range of parameter combinations across multiple metrics to assess the overall stability of the selected strategy. The model displays the complete backtest landscape in a structured, color-coded matrix that allows investors to quickly identify robust parameter region

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par QuantitativeAlpha

Sortino Ratio Oscillator [MarkitTick]💡 The Sortino Ratio Oscillator introduces a sophisticated, risk-adjusted performance metric typically reserved for portfolio analysis, adapting it into a highly responsive momentum oscillator. By strictly penalizing downside volatility while rewarding upside momentum, it provides a much clearer picture of market strength compared to traditional oscillators that treat all volatility equally. ✨ Originality and Utility Standard momentum indicators measure the velocity of price movement based on

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Aggregated Scores Oscillator [Alpha Extract]A sophisticated risk-adjusted performance measurement system that combines Omega Ratio and Sortino Ratio methodologies to create a comprehensive market assessment oscillator. Utilizing advanced statistical band calculations with expanding and rolling window analysis, this indicator delivers institutional-grade overbought/oversold detection based on risk-adjusted returns rather than traditional price movements. The system's dual-ratio aggregation approach provides superior signal accuracy by inco

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par AlphaExtract

Best MA Finder: Sharpe/Sortino Scanner This script, Best MA Finder: Sharpe/Sortino Scanner, is a tool designed to identify the moving average (SMA or EMA) that best acts as a dynamic trend threshold on a chart, based on risk-adjusted historical performance. It scans a wide range of MA lengths (SMA or EMA) and selects the one whose simple price vs MA crossover delivered the strongest results using either the Sharpe ratio or the Sortino ratio. Reading it is intuitive: when price spent time above the selected MA, conditions were on aver

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Strategy Stats [presentTrading]Hello! it's another weekend. This tool is a strategy performance analysis tool. Looking at the TradingView community, it seems few creators focus on this aspect. I've intentionally created a shared version. Welcome to share your idea or question on this. █ Introduction and How it is Different Strategy Stats is a comprehensive performance analytics framework designed specifically for trading strategies. Unlike standard strategy backtesting tools that simply show cumulative profits, this analyti

Stratégie

par PresentTrading

Sharpe and Sortino Ratios with Date Range This indicator calculates the Sharpe and Sortino ratios using a chart symbol's periodic price returns. I added the ability to calculate SORTINO and Sharpe based on CUSTOM DATES within the option menu. It builds on the script here: by adding this feature. A little about the Sortino Ratio. www.nasdaq.com I want equity market returns, but I don’t want equity market volatility. This is the sentiment many investors naturally feel. This sentiment often grows stronger as one approaches or is in th

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par ProgressiveFlatTax

Dynamic Risk-Adjusted Performance Ratios with Table With this indicator, you have everything you need to monitor and compare the Sharpe ratio, Sortino ratio, and Omega ratio across multiple assets—all in one place. This tool is designed to help save time and improve efficiency by letting you track up to 15 assets simultaneously in a fully customizable table. You can adjust the lookback period to fit your trading strategy and get a clearer picture of how your assets perform over time. Instead of switching between charts, this indicator puts all th

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Risk Radar Pro The "Risk Radar Pro" indicator is a sophisticated tool designed to help investors and traders assess the risk and performance of their investments over a specified period. This presentation will explain each component of the indicator, how to interpret the results, and the advantages compared to traditional metrics. The "Risk Radar Pro" indicator includes several key metrics: ● Beta ● Maximum Drawdown ● Compound Annual Growth Rate (CAGR) ● Annualized Volatility ● Dynamic Sharpe Ratio ● Dynamic

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Sharpe and Sortino Ratios █ OVERVIEW This indicator calculates the Sharpe and Sortino ratios using a chart symbol's periodic price returns, offering insights into the symbol's risk-adjusted performance. It features the option to calculate these ratios by comparing the periodic returns to a fixed annual rate of return or the returns from another selected symbol's context. █ CONCEPTS Returns, risk, and volatility The return on an investment is the relative gain or loss over a period, often expressed

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par TradingView

RiskMetrics █ OVERVIEW This library is a tool for Pine programmers that provides functions for calculating risk-adjusted performance metrics on periodic price returns. The calculations used by this library's functions closely mirror those the Broker Emulator uses to calculate strategy performance metrics (e.g., Sharpe and Sortino ratios) without depending on strategy-specific functionality. █ CONCEPTS Returns, risk, and volatility The return on an investment is the relative gain or loss ov

Bibliothèque

par TradingView

Sortino Ratio From Wikipedia : "The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as

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