Sortino

src/OnlinePortfolioAnalytics.jl

@@ -13,6 +13,7 @@ export CumulativeReturn
 export DrawDowns, ArithmeticDrawDowns
 export AssetReturnMoments
 export Sharpe
+export Sortino
 
 export fit!, value
 
@@ -25,6 +26,7 @@ include("std_dev.jl")
 include("drawdowns.jl")
 include("moments.jl")
 include("sharpe.jl")
+include("sortino.jl")
 
 include("value_at_risk.jl")
 

src/sortino.jl

@@ -0,0 +1,26 @@
+mutable struct Sortino{T} <: PortfolioAnalytics{T}
+    value::T
+    n::Int
+
+    mean_ret::Mean
+    stddev_neg_ret::StdDev
+
+    period::Int
+    risk_free::T
+
+    function Sortino{T}(; period=252, risk_free=0) where {T}
+        new{T}(T(0), 0, Mean(), StdDev{T}(), period, risk_free)
+    end
+end
+
+function OnlineStatsBase._fit!(stat::Sortino, ret)
+    fit!(stat.mean_ret, ret)
+    if ret < 0
+        fit!(stat.stddev_neg_ret, ret)
+    end
+    stat.n += 1
+    mean_return = value(stat.mean_ret)
+    stddev_neg_return = value(stat.stddev_neg_ret)
+    sortino = sqrt(stat.period) * (mean_return - stat.risk_free) / stddev_neg_return
+    stat.value = sortino
+end

test/runtests.jl

@@ -362,8 +362,28 @@ const weights = [0.4, 0.4, 0.2]
             push!(sharpes, value)
         end
         subscribe!(mapped_source, observer)
-        
+
         @test isapprox(sharpes[end], 0.2886, atol = ATOL)
     end
 
+    @testset "Sortino" begin
+        source = from(TSLA)
+        _ret = SimpleAssetReturn{Float64}()
+        _sortino = Sortino{Float64}()
+
+        mapped_source =
+            source |>
+            map(Union{Missing,Float64}, price -> (fit!(_ret, price);
+            value(_ret))) |>
+            filter(!ismissing) |>
+            map(Any, r -> (fit!(_sortino, r); value(_sortino)))
+
+        sortinos = Float64[]
+        function observer(value)
+            push!(sortinos, value)
+        end
+        subscribe!(mapped_source, observer)
+
+        @test isapprox(sortinos[end], 11.4992, atol = ATOL)
+    end
 end