I must be missing something very basic. Please tell me how I can see the Sortino ratio for a selected strategy. I have installed the visualizers package. Where can I see this ratio? Does it only appear if you do an optimization? I have selected ms123 visualizers for optimization but don't see it in any of the output columns..

Switch to a Portfolio Simulation mode for position sizing.

P.S. Here's a related question that you might have noticed on our FAQ: Why Sharpe ratio is not provided in Optimization Results?

OK. Thanks. Makes sense.

I would like to compare the Sortino ratio of my strategy vs. Buy and Hold. What would be a good way to that?

Not sure if I understand your question. How do you compare the Sharpe ratio (or Net Profit, or "Max Drawdown etc.) of All Trades vs. Buy & Hold? Isn't the procedure the same?

Probably. I haven't done that either. Basically my question is how to get statistics on the B&H that are not included on the Performance tab.

QUOTE:
... how to get statistics [like Sharpe ratio] on the B&H that are not included on the Performance tab?

You need to be simulating (backtesting) in Portfolio Simulation Mode, not Raw Profit Mode, for the Sharpe ratio to be defined. Now the Sharpe ratio should show up in the Buy-and-Hold column of the Performance tab.

But there's a problem. The Sortino ratio isn't on the Performance-without-the-plus tab, so you need to install the "Performance+" tab instead. (I think that's included in the Performance Visual Library.) Use Extension Manager to install it. You'll need to restart WL.

After installation, go into the Performance >> Performance Visualizer dialog and enable the Performance+ tab. Afterwards, restart your strategy. Now the Performance+ tab should show up. Run your strategy in Portfolio Simulation Mode and open the Performance+ tab. The Sortino ratio should now be included. (Wasn't that easy?... rhetorical)

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I wouldn't install more stuff (like visualizers) than you need. It just slows down WL startup. And performance computations take longer.

QUOTE:
After installation, go into the Performance >> Performance Visualizer dialog and enable the Performance+ tab.

Just a small addition to the correct and detailed answer by Mark. I'd like to point out a peculiarity: if you have Strategies in saved Workspaces then the new visualizers won't apply there. So when you reopen such Workspace, the new visualizer (i.e. Performance+) will not be picked up by the saved Strategies. In this case you'd have to close and reopen the Strategy for the new visualizer tab to appear in it.

Thanks for the responses. My question was how to get a Sortino ratio for the Buy and Hold performance, in order to compare it to a strategy for the same symbol.

QUOTE:
My question was how to get a Sortino ratio for the Buy and Hold performance, in order to compare it to a strategy for the same symbol.

Which is answered in full by superticker's post #6.

I re-read #6 and was able to get what I was looking for. Thanks @superticker & @Eugene!

Good to hear that!