I wrote a node.js script to calculate the sortino ratio, because I wanted to know the sortino ratio for different cryptocurrencies. In the code I assume the risk free rate is 1%, I'll fix it later. It seem doesn't have much affect the calculation.
Here's the csv and json data: https://gist.github.com/x13machine/faa4942b939a0673cb39fd4bbb62c4e4#file-bitcoin-json
process.on('uncaughtException', function (err) {
});
var fs = require('fs');
var coin = process.argv[2] || 'bitcoin';
var prices = JSON.parse(fs.readFileSync('./coins/'+ coin + '.json', 'utf-8'));
var stats = require("stats-lite")
var data = [];
prices.forEach(function(row, i){
var date = new Date(row.Date);
if(date.getDate() !== 1)return ;
data.unshift({
date: date,
price: row.Close
});
});
function norm(x){
return (x - 1) * 100;
}
var min = norm(1.01 ** (1/12));
var rets = [];
data.forEach(function(row,i){
if(i === 0)return ;
var lp = data[i - 1].price;
var ret = norm(row.price / lp);
if(ret < min)rets.push(ret);
//console.log(ret);
});
var tr = data[data.length - 1].price / data[0].price;
var years = (data[data.length - 1].date - data[0].date) / (24 * 60 * 60 * 1000 * 365.25);
var apr = norm(tr ** (1 / years));
var st = stats.stdev(rets);
console.log((apr - min) / st);
