Sortino Ratio Calculator

The Sortino ratio, developed by Frank Sortino, is a variation of the Sharpe ratio that addresses one of its main criticisms. The Sharpe ratio penalizes all volatility, including the upside kind that investors actually welcome. The Sortino ratio instead divides the excess return by the downside deviation, which measures only the volatility of returns that fell below a chosen target.

The formula is (return − target return) ÷ downside deviation. The target is the minimum acceptable return, often the risk-free rate or simply zero. By focusing only on harmful variability, the Sortino ratio can give a fairer picture of strategies that are choppy on the upside but well-controlled on the downside. Like the Sharpe ratio, it can be annualized by multiplying by the square root of the number of periods per year.

The Sortino ratio is used wherever downside risk matters more than overall volatility, which is often how investors actually experience risk. A high Sortino ratio suggests strong returns relative to the losses endured to earn them. It is frequently reported alongside the Sharpe ratio so the two can be read together, since a large gap between them points to returns that were volatile mostly to the upside.

As with any backward-looking statistic, it describes a past record and is not a forecast. How much weight to give it is entirely your own decision.

TradingView is one of the most widely used charting and market-analysis platforms, where traders and analysts study price movement across stocks, crypto, forex, and futures on interactive charts. Pine Script is TradingView's own lightweight programming language, created so anyone can build custom tools that run directly on those charts.

People use Pine Script to build four main kinds of tools. Indicators calculate and plot values on the chart, exactly like the calculation above, but recomputed automatically on every bar. Strategies add explicit entry and exit rules and can be backtested against historical data in TradingView's Strategy Tester to see how they would have behaved. Screeners scan many symbols at once for conditions you define. Alerts notify you the moment a condition you specified occurs, so you do not have to watch the screen.

The value is precision and automation. Instead of eyeballing a chart, you describe exactly what you want measured, visualized, or notified about, and TradingView runs it consistently across any market and timeframe. That is why traders, analysts, and developers write Pine Script: it turns a manual charting idea into a repeatable tool. These tools are for tracking, visualizing, and testing market ideas; they do not tell you what to trade, and that decision always remains yours.

Writing that code by hand means learning Pine Script's syntax, its type system, and the exact names of hundreds of built-in functions. It is a real programming language, and small mistakes stop a script from compiling in the Pine Editor.