Sortino Ratio.
Rolling risk-adjusted return — only downside volatility counts against you.Sortino above 2 is rare — the asset is delivering strong return with minimal downside punishment. Late-cycle euphoria territory. Historically these readings precede regime shifts where return-to-risk normalises.
Downside volatility is outpacing return — the asset is in a drawdown that's being punished by its own variance. These zones typically mark capitulation moments where forward returns improve sharply.
Computed on rolling daily log returns: mean × √365 ÷ downside-stdev. The downside-stdev only counts negative returns, so an asset with high upside volatility and limited drawdowns scores well — exactly the opposite of how Sharpe would treat it.
A reading of 1.0 is acceptable risk-adjusted return for a high-beta asset. Above 2.0 is exceptional and rarely persists. Below 0 means recent return is being outpaced by downside variance — typically a late-stage drawdown signal that precedes capitulation lows.
The Algorithm dropdown switches between two lookback windows. The 365-day view captures the multi-cycle macro picture — slow, hard to game. The 185-day view is faster and better for tracking regime changes within a single cycle.
Backtest convention: long-only on the selected asset. Buy on Sortino crossing up through the lower threshold (return-to-risk turns positive after a drawdown). Sell on cross down through the same level.