Sharpe(range[,bars,offset])
Sharpe1Y
Sharpe2Y

Sortino(range[,bars,offset])
Sortino1Y
Sortino2Y

These functions calculate a Sharpe or Sortino "like" ratio so that: i) stocks with higher Sharpe ratios have better risk adjusted returns ii) stocks with higher Sortino ratios have have experienced lower downside risk.

Parameters

range: total number of bars used
bars: number of bars used for the returns (default=5)
offset: offset in bars (default is 0)

The range parameter is the total number of bars used for the calculation. Therefore the number of samples which will be used is:

#samples = range / bars

For example to calculate the Sortino for weekly returns for the past year you would enter Sortino(255,5) which will use 51 5-bar samples (255/5 = 51). This is an approximation since holidays are not taken into account.

Sharpe1Y = Sharpe(255,5) // uses 51 5-bar samples

Sharpe2Y = Sharpe(515,5) // uses 103 5-bar samples

For an excel sheet sample calculations see the document "Glossary of Risk Statistics" in the Reference section of the Knowlede Base