Sortino is Sharpe with a fix. Same numerator: average return above a baseline. Different denominator: only the standard deviation of the negative returns. Upside swings, no matter how violent, do not penalize the score.
The reasoning is simple. Investors do not lose sleep over the month their account jumped up. They lose sleep over the month their account jumped down. The volatility that matters is the volatility of the losses. When a strategy has occasional outsize winning periods, Sharpe treats them as volatility and the score drops. Sortino lifts those wins out and reads more honestly.
A Sortino of 2 or more is considered strong for an algorithmic forex strategy. As always, the number needs context: drawdownDrawdownThe drop in account equity from a peak to the trough that follows, expressed as a percent of the peak.Click the word to learn more depth, length of the measurement, positionPositionA single entry held on the broker account, with a direction, a size, and a current floating result.Click the word to learn more count. A great Sortino over six months on twenty positions means much less than a decent Sortino over three years on a thousand.
Javlot reports Sortino next to Sharpe on every strategy page. When Sortino is much higher than Sharpe, the strategy has positive surprises that Sharpe was treating as noise. When the two sit close together, the equityEquityThe live value of your broker account, including the floating profit or loss of open positions.Click the word to learn more curve is roughly symmetric.