Sortino (3Y, track-adjusted) — Return
Sortino on the Return curve over the last 3 calendar years × √(track age / 3y). A ranking score, not a ratio: young accounts are shrunk toward zero in proportion to how little statistical evidence their track carries.
- Computed from
- Equity curve
- Scope
- Single report
- Range
- Any real number
- Direction
- Higher is better
Basis
Computed on the low-to-low Return Series (money-weighted) — measured day-worst-point to day-worst-point, not close-to-close.
Sortino on the Return curve over the last 3 calendar years × √(track age / 3y). A ranking score, not a ratio: young accounts are shrunk toward zero in proportion to how little statistical evidence their track carries.
A full write-up for this metric is on the way. The definition above matches the engine exactly, and you can read the general concept on Wikipedia below.