protected override void OnBarUpdate()
{
    // Set a 0% risk free return
    SystemPerformance.AllTrades.TradesPerformance.RiskFreeReturn = 0;
 
    // Print out the Sortino ratio of all trades based on a zero risk free return
    Print("Sortino ratio is: " + SystemPerformance.AllTrades.TradesPerformance.SortinoRatio);
}