sortino: Sortino Ratio
In vandomed/stocks: Stock Market Analysis

Description Usage Arguments Value Examples

Calculates Sortino ratio from vector of gains or prices. The formula is: (mean(gains) - rf) / sd(gains[gains < 0]), where rf is some risk-free rate of return.

1	sortino(gains = NULL, prices = NULL, rf = 0)

`gains`	Numeric vector of gains.
`prices`	Numeric vector of prices.
`rf`	Numeric value.

Numeric value.

# Simulate daily gains over a 5-year period
set.seed(123)
stock.gains <- rnorm(252 * 5, 0.0005, 0.01)

# Calculate Sortino ratio using risk-free return of 0
sortino(stock.gains)