Calculate Sortino Ratio

performance.sortino_ratio

ProductionBounded custom (Class B)Deterministicstrictinstantv1.0.0

No network

Overview

Perform exact bounded sortino ratio from caller-supplied return values. Period alignment, cash-flow classification, and methodology remain caller-controlled.

You receive deterministic return arithmetic without hidden methodology for performance.sortino_ratio.

Reliability

DECIMAL_INVALID means a decimal is malformed or over limit; correct it. PERFORMANCE_INPUT_INVALID means a return, period, value, or policy violates the closed domain; correct it. ZERO_DENOMINATOR means a beginning value or price is zero; supply a non-zero value. ITEM_LIMIT_EXCEEDED means a return series exceeds 10,000; reduce it. This guidance applies specifically to performance.sortino_ratio.

Context footprint

The compact output replaces repeated return arithmetic for performance.sortino_ratio. A successful call costs 1 execution credit.

When to use it

When returns versus a target must be scaled only by downside shortfall, not total variance.

When total variance should penalize upside as well; use Sharpe ratio instead.

Scope

Note

Perform exact bounded sortino ratio from caller-supplied return values

Non-goals

Does not infer periods, cash-flow classification, benchmarks, or return methodology for performance.sortino_ratio.
Does not source prices, distributions, risk-free rates, or market returns for performance.sortino_ratio.

Properties

IdempotentRetry safeStreaming supportedFile input supportedRequires external service

Capabilities

analysis

Cost & billing

Flat rate per invocation

MetercallsBillable onsuccessCost per call1 credit

File handling

Accepts file_refProduces file_refMax input64 KB

How we handle your data

Sensitive input, safe output

What this means

This skill may receive sensitive content, but it does not target sensitive data and returns only a structured non-sensitive result.

Squillify guarantees

Runs inside Squillify
This skill runs inside Squillify.
Payloads are not sent to an external service by this skill.
Squillify does not permanently store submitted payloads.
Telemetry records metadata only, not submitted content.
Submitted payloads are not used for training.
Submitted payloads are not reviewed by humans.
This skill does not target sensitive data.
The response does not contain submitted content.

Your responsibility

Squillify does not determine whether submitted content is sensitive. Your application is responsible for deciding what data it is allowed to submit. Your application is responsible for securing the response.

Read the Microskill Data Handling Policy

Input schema

Field	Type	Required	Description
returns	array	Yes	Required one through 10,000 plain-decimal return strings; null elements are invalid.
targetReturns	array	Yes	Required one through 10,000 plain-decimal return strings; null elements are invalid.
downsideMode	string	Yes	Required `ALL_OBSERVATIONS` or `NEGATIVE_OBSERVATIONS`; controls the squared-shortfall divisor.

Output schema

Field	Type	Required	Description
sortino	string	Yes	Calculated normalized finite plain-decimal result.

API contract

POST /v1/execute

curl

curl -sS -X POST "$BASE/v1/execute" -H "Authorization: Bearer $KEY" -H 'Content-Type: application/json' -d '{"skillKey":"performance.sortino_ratio","input":{"returns":["-2","2","2","2"],"targetReturns":["0","0","0","0"],"downsideMode":"ALL_OBSERVATIONS"}}'

Integrations

TypeScript SDK

import { Squillify } from "@squillify/sdk";

const sq = new Squillify({ apiKey: process.env.SQUILLIFY_API_KEY });

const { output } = await sq.execute("performance.sortino_ratio", {"downsideMode":"ALL_OBSERVATIONS","returns":["-2","2","2","2"],"targetReturns":["0","0","0","0"]});

Errors

Code	HTTP	Retryable	Description
VALIDATION_ERROR	400	No	The request payload failed schema validation.
UNAUTHORIZED	401	No	Missing or invalid API key.
SKILL_NOT_ACCESSIBLE	403	No	The API key is not granted access to this skill.
SKILL_NOT_AVAILABLE_FOR_PLAN	403	No	This skill is not included in your current plan.
PLAN_ELIGIBILITY_UNAVAILABLE	503	Yes	Plan eligibility could not be decided. Retry after backoff.
SKILL_NOT_FOUND	404	No	The requested skill or version does not exist.
TENANT_RATE_LIMITED	429	Yes	Request rate limit exceeded. Retry after backoff.
QUOTA_EXCEEDED	429	Yes	Plan quota exhausted. Retryable once the quota period resets.
EXECUTION_TIMEOUT	504	Yes	Execution exceeded the allowed time budget.
DECIMAL_INVALID	400	No	The request payload failed this skill's input validation.
PERFORMANCE_INPUT_INVALID	400	No	The request payload failed this skill's input validation.
ZERO_DENOMINATOR	400	No	The request payload failed this skill's input validation.
ITEM_LIMIT_EXCEEDED	429	No	A size, quota, rate, or time limit was exceeded.

Other limits

Limit	Value
Recommended inline bytes	32 KiB

Limitations

Does not infer periods, cash-flow classification, benchmarks, or return methodology for performance.sortino_ratio.
Does not source prices, distributions, risk-free rates, or market returns for performance.sortino_ratio.
Methodology selection, market sourcing, or period alignment for performance.sortino_ratio.

How to call

POST /v1/execute (requires authentication)

Request bodyjson

{
  "skillKey": "performance.sortino_ratio",
  "input": {
    "downsideMode": "ALL_OBSERVATIONS",
    "returns": [
      "-2",
      "2",
      "2",
      "2"
    ],
    "targetReturns": [
      "0",
      "0",
      "0",
      "0"
    ]
  }
}

Examples

Verified primary

Inputjson

{
  "downsideMode": "ALL_OBSERVATIONS",
  "returns": [
    "-2",
    "2",
    "2",
    "2"
  ],
  "targetReturns": [
    "0",
    "0",
    "0",
    "0"
  ]
}

Expected outputjson

{
  "sortino": "1"
}

Tip

Independent W14 vector.

Verified alternative