screamer.js
    Preparing search index...

    Function RollingSortino

    • Annualised Sortino ratio: Sharpe with downside-only deviation.

      Parameters

      • windowSize: number = 252

        Trailing-window length.

      • periodsPerYear: number = 1.0

        Annualisation factor (252 daily, 52 weekly, 12 monthly, 1 = no annualisation).

      • target: number = 0.0

        Minimum acceptable return (only deviations below this contribute to the denominator).

      Returns ScreamerOp

      https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.