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It's really important to not overlook the reward part. Just using return is probably the reason most fail with RL. This might be far more essential than the agents: _"The reward fed to the RL agent is…
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I get the following attribution error:
AttributeError Traceback (most recent call last)
[](https://localhost:8080/#) in ()
4 for i in range(rebalance_window+valid…
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Is it possible to add more information in backtest, such as retracement ratio and sharpe ratio, etc
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![네이버 Annualized Sharpe Ratio](https://user-images.githubusercontent.com/52461409/104093508-49cf6000-52ce-11eb-8e01-9365a1529d3c.png)
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1. Rolling Sharpe ratio
2. Drawdown
3. Equity curve
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Extend the statistics saved by _save_stats_to_json() in Runner.
- [x] Net profit
- [ ] Average annual interest
- [x] Final balance
- [x] Total number of transactions
- [x] Transaction volume
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# User Stories
As a user, I want to know how risky is one trading strategy, so that I can better decide between two different strategies.
As a user, I want to see "Based on your portfolio in the las…
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```if r.index.to_series().diff().min() < pd.Timedelta("2 days"):
self.daily_mean = r.mean() * 252
self.daily_vol = np.std(r, ddof=1) * np.sqrt(252)
# if type(s…
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I am feeding results from backtrader into quantstats (`returns, positions, transactions, gross_lev = portfolio_stats.get_pf_items()`). I really like the nice reports it creates, but I have a question …
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# User Stories
As a user, I want to know how performant is one trading strategy, so that I can better decide between two different strategies.
As a user, I want to see "Based on your portfolio in th…