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Sortino Ratio

Like Sharpe, but penalises only downside volatility.

The Sortino ratio divides excess return by downside deviation, so it doesn't punish a strategy for large upside swings. It better reflects how investors actually feel about risk — they fear losses, not gains.

Sortino = (R_p − R_f) / σ_downside

import numpy as np
downside = returns[returns < 0].std()
sortino = (returns.mean()*252 - rf) / (downside*np.sqrt(252))