In a recent post I previewed a neat service coming soon from my colleague Jeff Pietsch that ranks various indicators by their rolling 252 period Sortino ratio.
I raised the possibility of being able use these rolling Sortinos to switch between systems or manage position size.
It’s taken a while to get the models built but they are showing some initial promise.
The Rolling Sortinos
Despite sounding like a travelling circus act, this metric does appear to have some use as a filtering tool.