Applying Sortino Ratio on PNL

R

Rafa107

I am simulating a dual moving average crossover to trade past data of an energy future contract.

I have generated 150 trades and I would like to use those Profit and Loss data to calculate the Sortino Ratio. How can I do it?

Is it better for me to use daily PNL (Including those days without trades and PNL = 0)? Or should I just use those 150 PNL data?

And, what number should should I put for the risk free rate?

:confused:

And what benchmark should be used for comparison?

Thanks=)
 
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