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What does this mean?
1. Ex-ante based on model each week
2. Ex-post based on realized with some extending/rolling window
3. Ex-post based on modeled volatility (combine w∑w)
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Originally reported at https://github.com/yihui/knitr/issues/1349 and I have reduced it to a minimal reproducible example below:
```
## Buggy table
- From 1972 to 2011, momentum strategies that…
yihui updated
7 years ago
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running buyapple.py fails in python 2.7.10 but runs in python 3.4.3 for zipline 8.0rc. The part of code that fails is `data[symbol('AAPL')]` found in
```
record(AAPL=data[symbol('AAPL')].price)
```
…
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`SharpeRatio` ratio function is supposedly preferred to `SharpeRatio.annualized()` as it already incorporates the same functionality via parameter annualize = TRUE.
However, currently, SharpeRatio …
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Hi all,
Ran into this issue when trying to run the buy_and_hold_backtest.py:
(qstraderp3) Enriques-MacBook-Air:examples enriqueromualdez$ python buy_and_hold_backtest.py
Traceback (most recen…
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🔫
Maybe only weights for full sample?
## Full Sample Table
- HML only takes 6% in the full-sample weights
- High MDD for full-sample for 5F excl. CMA, skewness similar 5F HML/CMA
- MDD bet…
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Hello (Ubuntu 16.04 LTS 64 bits) =) ,
Probably a noob mistake here, but I have trouble getting started with live trading. When .paperTrader is enabled it seems to work fine when I set it to false a…
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Hello,
I am new using Pyfolio, is there any place where i can find documentation about these metrics?
annual_return
annual_volatility
sharpe_ratio
calmar_ratio
stability
max_drawdown
omeg…
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- [ ] Fix the zipline implementation to use risk-adjusted returns in the denominator (https://github.com/quantopian/zipline/blob/master/zipline/finance/risk/risk.py#L106) Source: http://www.pipsafe.co…
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![multi_rsi](https://cloud.githubusercontent.com/assets/15394723/18809554/e8cda484-82b0-11e6-8244-fb0440682f9b.png)
Thank you.