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Lumiwealth / quantstats_lumi

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Using with periods_per_year = 52 #26

Open MarcosBizont opened 3 months ago

MarcosBizont commented 3 months ago

I am wondering if anybody is using this library with periods parameters different than 365.

I am finding multiple issues (Sortino is all over the place), but before I put together a patch, I want to know if anybody else is experiencing similar problems.

Thanks

grzesir commented 3 months ago

What issues are you getting? And why would you change the period from 365?

Robert Grzesik 347-635-3416

On Sat, Apr 13, 2024 at 10:34 PM Marcos Castillo @.***> wrote:

I am wondering if anybody is using this library with periods parameters different than 365.

I am finding multiple issues (Sortino is all over the place), but before I put together a patch, I want to know if anybody else is experiencing similar problems.

Thanks

— Reply to this email directly, view it on GitHub https://github.com/Lumiwealth/quantstats_lumi/issues/26, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAIYQK626DYYNKQJXTOUEJTY5HTMRAVCNFSM6AAAAABGF5UGROVHI2DSMVQWIX3LMV43ASLTON2WKOZSGI2DCOBWHE4TIOI . You are receiving this because you are subscribed to this thread.Message ID: @.***>

MarcosBizont commented 3 months ago

I am using a strategy that is rebalanced every week. As a result, my data series is provided by week instead of daily, as stock returns usually are.

Until now, I have detected the CAGR being wrongly calculated if the period is not 365 and I am currently working in the Sortino.

grzesir commented 3 months ago

Makes sense. If you send a pull request to fix this issue I can merge it into the library and release the fix

Robert Grzesik 347-635-3416

On Sat, Apr 13, 2024 at 10:54 PM Marcos Castillo @.***> wrote:

I am using a strategy that is rebalanced every week. As a result, my data series is provided by week instead of daily, as stock returns usually are.

Until now, I have detected the CAGR being wrongly calculated if the period is not 365 and I am currently working in the Sortino.

— Reply to this email directly, view it on GitHub https://github.com/Lumiwealth/quantstats_lumi/issues/26#issuecomment-2053871046, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAIYQKYSLN5Y2WTR2RSJ6VLY5HVXZAVCNFSM6AAAAABGF5UGROVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDANJTHA3TCMBUGY . You are receiving this because you commented.Message ID: @.***>