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Glossary / Performance metrics

Sortino ratio

Definition

Return per unit of downside volatility only.

Why it matters

Sortino is usually a better fit for trading strategies than Sharpe because big winning days should not count as risk.

Example

Two strategies both return 20%: one with 15% total volatility mostly from upside gaps scores far better on Sortino than a Sharpe comparison suggests, because only downside deviation is penalised.

How to track it in a journal

TradeStack calculates the core performance numbers — win rate, average win and loss, profit factor, expectancy, drawdown and consistency — automatically from imported trades, so sortino ratio stops being something you estimate and becomes something you read.

Related terms

Expectancy
The average profit or loss you can expect from each trade over a large sample.
Profit factor
Gross profit divided by gross loss.
Win rate
The share of your trades that close in profit.
Average win
Total profit from winning trades divided by the number of winning trades.

Keep reading

Trading journal guides
Expectancy, profit factor, drawdown, backtesting and the PDT rule.
Free trading calculators
Position size, risk-reward, expectancy and options profit.
Expectancy calculator
Expected profit per trade from your own numbers.
Broker CSV export guides
Step-by-step exports for Tradovate, NinjaTrader, IBKR and more.
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