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The code for annual_volatility and the related Sharpe ratio and others uses the numpy `std `function. However, the source code automatically sets `ddof=1`, which if I understand correctly is appropria…
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Our Information Ratio calculation (https://github.com/quantopian/empyrical/blob/master/empyrical/stats.py#L590) is wrong as noted by @marketneutral:
"The definition is wrong. You need a risk model to…
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I am doing portfolio optimisation maximising return per unit risk where risk is ES/ETL/CVaR using DEoptim as a solver,when I run the following lines in my portfolio:
port
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Terminal shows backtest is completed, Sharpe ratio and Max drawdown are given however no graphs (tearsheet) is shown at all.
The package is installed with Anaconda under OSX.
Config file qstrader…
ghost updated
7 years ago
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Looked at Niel's account and found a Sharpe at -0.17 which raises questions around the calculation
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Right now gekko can either paper trade (simulate) or live trade on spot markets.
This means:
- Gekko assumes the market to be:
- curency: safest / base currency
- asset: asset investment v…
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create new sharpe ratio module
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Sharpe is way off with a cash only portfolio.
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What is expected to happen is when using Windows 10 to run buy_and_hold_backtest.py noted in https://www.quantstart.com/qstrader the tearsheet figure created is shown, and stays visible for review.
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has anyone been able to recreate zenbot strategy on gekko and backtest it?
https://github.com/carlos8f/zenbot
I tried their parameters with rsi but the backtesting does not look good maybe I am …