Using Sortino ratio as fitness value

Hello everyone!

I would like to use performance ratios such as sortino ratio as a custom fitness value in my optimizations, but to no avail I can see any straightforward way. I know that there are some reserved words in the custom criteria segment that can be used, but none of the actually is useful in making sortino formula.

Any Ideas?

Thanks!

Hello arian_gh,

You can create your own code with SetCustomFitnessValue to perform optmizitation based on Sortino ratio, similar way we have done it for Sharpe Ratio (see prebuilt signal Optimize_by_Sharpe_ratio).
Examples using Optimize_by_Sharpe_ratio:
viewtopic.php?f=1&t=12625
viewtopic.php?f=5&t=8838

Thanks a lot!