The Rolling Sortino Gate filter is a pass/block gate on unannualized rolling Sortino of simple returns. When Sortino meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
Use it when other rules choose direction and you only want to allow them while recent mean/downsideDev is in range. Prefer Rolling Sortino when the Sortino condition itself should emit a buy or sell side.
When to use it
- Only allow entries while rolling Sortino stays above zero
- Block new risk when downside-adjusted return quality collapses
- Confirm regime without adding a second directional rule
What you’ll set in the app
Add Rolling Sortino gate under filters.
- Window — return bars (default 20)
- Compare — Sortino >, <, ≥, ≤, or ≈
- Threshold — e.g.
0(default)
Warm-up history blocks the gate. Disabled passes.
Tips
- Not annualized—thresholds are bar mean/downsideDev.
- There is no “side when true”—pair with RSI, MACD, or other signal rules for direction.
- For a directional Sortino signal, use Rolling Sortino.
Example
Entry filters: Rolling Sortino gate, window 20, Sortino > 0. A breakout long only passes when recent unannualized Sortino is positive.