I am confused on the Sortino shown in the first row (aggregate row) for the walk forward results. Few points:
1. For one test I ran the aggregate Sortino is 4.7.
2. When I calculate it myself on the dailies I get 3.6 and when I calculate it from the monthlies I get 3.2. These are close enough to 4.7 bc my assumptions on risk free rate and days in a trade year may be different etc.
3. Now I go to the backtester feature instead of the walk forward test. I manipulate the walk forward to match the backtester param selection so the results should be similar if not identical. In there it shows a Sortino of 1.3.
Can someone shed any light on the walk forward aggregate Sortino? Is it possible maybe each Sortino was written by a different team or something so the underlying assumptions are different? Risk free rate, number of trade days in a year etc? Other?
Thank you all,
Tim
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