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`numpy` has a very useful `vectorize` decorator: http://docs.scipy.org/doc/numpy/reference/generated/numpy.vectorize.html that allows writing a function for scalars and then pass in arrays transparent…
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> Ein Risikomaß eines Portfolios z.B. in Form von maximalen Drawdown, Standartabweichung oder Varianz.
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1) Der Text der Labels ist sehr "denglisch". Ich versuche später mal das ein wenig deutscher zu machen
2) Der Hinweis von Dir, dass sqrt(2) \* semi = vola bei gleichverteilter Abweichung gilt ist supe…
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It would be great if running statistics also implemented a pop function, so you could push a window of say 5000 points and pop the old values off.
You'd need to store/queue the points, or to avoid me…
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Is the following use case supported?
I would like to run a strategy from t1 to t2. Then I would like to run that same strategy from t2 to t3 but have the performance stats print for the period t1 to …
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I've been looking into reasons why the Sharpe and Sortino calculations are giving different answers than my spreadsheet calculations. I double-checked my monthly calculations against Morningstar, befo…
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The Sharpe ratio is being calculated incorrectly. It should be using the mean of the difference between the portfolio return and benchmark return and not the difference of the cumulative returns.
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Alongside Sharpe, alpha and beta it would be useful to have the
information and sortion ratios added to the `Sim` sheet of the
risk answer sheet.
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for table of portfolio returns, get:
- mean return
- volatility
- VaR
- Sharpe ratio
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Preis mit dem letzten preis vergleichen. Wenn die Differenz zu groß ist - alles verkaufen.