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## Are you adding a new feature?
- [x] YES
- [ ] NO
# Are you enhancing the old feature?
- [ ] YES
- [x] NO
## Is your feature request related to a problem?
- [ ] YES
- [x] NO
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same as for Portfolio VaR, we need to provide Sharpe Ratio for a given set of assets (Portfolio) from Coinshift.
Question: Can we calculate a Sharpe Ratio for the Portfolio as a whole or only for the…
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the sharpe ratio is defined as (r-r_f)/sigma, however i can' get this value from the annual return and annual volatility.
In my case, the annual return is 4.21%, free risk rate is 3%, volatility is 9…
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### Expected Behavior
I am using the backtesting.py to carry out a simple backtest strategy about the simple moving average crossing. But Sharpe, Sortino and Calmar Ratio all show 0. What's wrong wit…
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So far I found cumulative returns, time in market, average drawdown and average drawdown days to be different but there could be others.
You can reproduce this issue with the following code:
```
v…
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Normalize ratios (annually or monthly) across instruments and timeframes to make tests on different instruments/periods comparable. Needs an M1 equity recording for each test which gives a more realis…
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Hello, congrats for the amazing project!
I am using the following snippet of code in PyCharm:
![image](https://user-images.githubusercontent.com/47110871/195799711-c06ffebb-e6c7-4fde-a61f-e9ede62f29…
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Log into investor account
Check how sharpe ratios/greek variables/math models have been changing with respect to time
Use the updated values as extra information for my trades.
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I have come across an issue in PortfolioAnalytics. It might be that my data (downloaded from Yahoo Finance) simply has issues but I guess this should not lead PortfolioAnalytics to fail. I also doubt …
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Problem 1.7 is very surprising: "You read a journal article that describes an investment strategy. In a backtest, it achieves an annualized Sharpe ratio in excess of 2, with a confidence level of 95%.…