Rolling Sortino fires a buy or sell when the unannualized rolling Sortino of simple returns meets your compare/threshold. Sortino is mean return divided by downside deviation (negative returns only).
It is the downside-aware sibling of Rolling Sharpe. Prefer Rolling Sortino Gate when you only want pass/block confirmation.
When to use it
- Enter when recent return quality vs downside risk is strong
- Fade when Sortino collapses (invert or opposite side)
- Prefer downside-only risk over full-sample Sharpe
What you’ll set in the app
Add Rolling Sortino under entry (or another signal section).
- Window — return bars (default 20)
- Compare — Sortino >, <, ≥, ≤, or ≈
- Threshold — e.g.
0(default) - Side — buy or sell when the condition holds
Tips
- Not annualized—thresholds are bar mean/downsideDev.
- No downside in the window caps Sortino at 99 for UI stability.
- As a filter, the configured side must match the pending signal.
Example
Entry: Rolling Sortino, window 20, Sortino > 0, side buy.