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Wondering why the annualized sharpe ratio calculation doesn't line up with the traditional methodology of annualized return / annualized volatility?
`qs.stats.cagr(returns)/qs.stats.volatility(retu…
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Add method to calculate sharp ratio from trades df.
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#### Behavior
This widget should link to documentation, but instead the only place to link to has been a forum post for years. We should have a page on PSR as its a significant and very quanty statis…
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**Why this Nup?**
Finance applications are probably plentiful enough to warrant their own nup category. If there is a dedicated Finance category, the maximal Sharpe ratio problem is popular and foc…
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**Describe the problem.**
Provide an implementation for sharpe ratio and information ratio calculations in gs_quant.
**Describe the solution you'd like**
Information ratio should calculate the r…
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## Are you adding a new feature?
- [x] YES
- [ ] NO
# Are you enhancing the old feature?
- [ ] YES
- [x] NO
## Is your feature request related to a problem?
- [ ] YES
- [x] NO
…
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This repo uses a wildly outdated version of freqtrade (more than 1000 commits/improvements behind) - and i think users should be warned about this fact.
I would appreciate if you could contribute y…
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The Sharpe ratio compares the return of an investment with its risk. It's a mathematical expression of the insight that excess returns over a period of time may signify more volatility and risk, rathe…
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1. We should also move some functions from ```generate_labels.py``` to a new file ```metrics.py``` that can be imported, such as annualize return or get percent return or inflation-adjustments.
2. W…
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calculated -.019897
actual 2.71
https://portfolioslab.com/symbol/CRM