Recently Frank Sortino, developer of Sortino Ratio, has had a change of heart. He now believes that the Sortino Ratio, an attempt to improve upon the Sharpe Ratio, is fatally flawed. He has developed a new Metric, which he has called the Desired Target Rate™-alpha (DTR™-a), which appears to have a predictive component. He lays out the whole thesis in his new book but has kindly provided the first three chapters for free).

I would like to suggest that the "DTR™-a" metric be added to the MS123 Scorecard.

Vince

Since "Desired Target Return™" and "DTR™" are registered trademarks, we do not consider adding such formulas to our library due to potential legal issues (nor coding them).

But for your personal use nobody can stop you from getting it coded. For what it's worth, this PDF by CME Group says that "MAR is now referred to as the Desired Target Return™". MAR is part of MS123 Visualizers/Scorecards, and their source code (legacy version) can be obtained from the Wiki and used as a working example of building the Sortino and MAR ratios.

But before you rush to start, check out what one of your links suggests about metrics on par with it - and it's the familiar Ulcer Index, already available in WL:

<<Few financial websites currently offer Sortino's DTR-a ranking, but several have adopted the Ulcer Index or the Martin ratio. For example, posts in the Motley Fool's mechanical investing forum routinely compute the Ulcer Index. Nelson Freeburg, editor of Formula Research, has called the Ulcer Index "perhaps the most fully realized statistical portrait of risk there is.">>

QUOTE:
Since "Desired Target Return™" and "DTR™" are registered trademarks, we do not consider adding such formulas to our library due to potential legal issues (nor coding them).

I'm not sure if trademarking is a problem, but if the algorithm itself is patented (Yes, you can patent software implementations and algorithms.), then it would be a problem. This is the case with the GIF image compression format, so not all software can produce a GIF image unless they are licensed.

If DTR™ is patented, you'll need either a license or permission to distribute it. But a trademark is not a patent; there's a different use case there.

To obtain written permission from the trademark holder is still required but not always real. Been here done that. So as much as possible we will avoid getting into this.