Sortino ratio of 4,000?

This may just be a problem with data, but I am getting blown up sortino ratios. I thought they had to be much smaller.

For instance:

import yfinance as yf 

msft = yf.Ticker("ETH-USD")

def getSortino(h, p):
  sh = []
  for i in range(0, len(h)):
    if i > p:
      a = h['Close'].iloc[i-p:i]
      sh.append(ta.sortino_ratio(a))
    else: sh.append(0)

  return sh


h['rso364'] = getSortino(h, 364)
h['rso100'] = getSortino(h, 100)
h['rso1000'] = getSortino(h, 1000)

h.plot(y=['rso100', 'rso364', 'rso1000','Close'], linewidth=0.5)

Gives me a graph like this, I don’t believe max values should be in the range of 4,000. Perhaps there is some missing data or something, but not sure what could cause this…

PS: I keep finding this package extremely useful.

[dorienh]

Oh just noticed the sign is not the issue as it’s preceded by:

downside = adjusted_benchmark_rate - returns

I’ll look into the definition that you implemented.

[dorienh]

Looks like we should all invest immediately lol.

The short timeframe may indeed reflect periods of near zero negative volatility. I’ll have a look at which time frame sortino is typically calculated, I’m actually not certain. I’ll have a look at the data as well.