quantopian/zipline — pull request #65 by rday (2013-01-25 04:31:47+00:00)
Title: Sortino ratio

As per wiki request, add the Sortino ratio to the risk module.

I've given a parameter, mar, which should be user configurable. If it is not set, I use the treasury return (like Sharpe). I do this so the test cases are predictable. This being my first commit, please let me know if there is a better approach to testing.

I couldn't figure out just how to specify the MAR for Sortino. Through Quantopian, I think setting a context variable would be acceptable?