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365 days are hardcoded [here](https://github.com/santiment/sanpy/blob/master/san/extras/backtest.py#L43) and [here](https://github.com/santiment/sanpy/blob/master/san/extras/backtest.py#L69)
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**What are you trying to do?**
Like I said in the title, I want to compare sharpe ratio between my random weights and optimal weights.
**What have you tried?**
Here is my code for better expl…
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Working yesterday - Not working today...
Get this weird NaN error?
Thanks
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In a paper of Shadwick and Keating in 2002, describes the Omega Ratio as an alternative to the classical Sharpe ratio for the estimation of portfolio performance. It should encompass higher moments of…
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I noticed a couple of calculation issues with the `rolling_sharpe()` and `rolling_sortino()` functions used in the tearsheet graphs:
1. In both `rolling_sharpe()` and `rolling_sortino()`: The `peri…
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Confused as to why changing the date range of the "My Project" code LEAN CLI gives 0 trades. My code is identical to the LEAN CLI demo except for a different date range and warm up.
```python
from…
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Having access to Sharpe/Sortino ratios provides additional useful insight during backtesting, above profit / W/L / drawdown, etc. metrics already provided.
E.g.:
```
=============== SUMMARY MET…
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**What are you trying to do?**
Setting a max number of assets to allocate weights to. For example observe a universe of 500 stocks, I only want the weights for max 10 stocks and the sum should ofcour…
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I was going through the SharpeHyperOptLoss implementation [here](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/optimize/hyperopt_loss_sharpe.py)
It seems that the implementation is as…
sidml updated
3 years ago
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Hi Robert !
Thanks for all the great work ! I'm trying to optimize portfolio with using your library and I have a question as below.
**What are you trying to do?**
I'd like to add the volatility…