search

Lumiwealth / quantstats_lumi

Apache License 2.0
53 stars 20 forks source link

How to enter the right Risk Free value in qs.reports.html? #27

Open manuelwithbmw opened 3 months ago

manuelwithbmw commented 3 months ago

Hi

I have just installed quantstats_lumi and I am comparing the results with quantstats.

(I can see that Lumi overestimates (circa 10%) the Sharpe Ratio of the other library quantstats - anyway I seem to understand the Lumi version is better maintained? Anyway, this difference does not bother me too much)

Risk Free Can you please let me know what is the right way of entering the Risk Free value in the report.html? If we have a US 10 yrs at 4.61% as of now, in the html.report function I am using the Avg RF Daily Returns which according to my calculations (for my time window of observation) would be 0.000066, so I am entering 0.000066 as below:

qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "/Users/.../Strategy Tearsheets/strategy_report.html")

Is this the right way to use RF rate here?

Thank you very much M

grzesir commented 2 months ago

If your rf rate is 4.61% then you should enter 0.0461 i believe

Robert Grzesik 347-635-3416

On Sat, Apr 20, 2024 at 3:31 PM Manuel @.***> wrote:

Hi

I have just installed quantstats_lumi and I am comparing the results with quantstats.

(I can see that Lumi overestimates (circa 10%) the Sharpe Ratio of the other library quantstats - anyway I seem to understand the Lumi version is better maintained? Anyway, this difference does not bother me too much)

Risk Free Can you please let me know what is the right way of entering the Risk Free value in the report.html? If we have a US 10 yrs at 4.61% as of now, in the html.report function I am using the Avg RF Daily Returns which according to my calculations (for my time window of observation) would be 0.000066, so I am entering 0.000066 as below:

qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "/Users/.../Strategy Tearsheets/strategy_report.html")

Is this the right way to use RF rate here?

Thank you very much M

— Reply to this email directly, view it on GitHub https://github.com/Lumiwealth/quantstats_lumi/issues/27, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAIYQKZQFPYRELRJXUHH5HDY6K67JAVCNFSM6AAAAABGQXCYSSVHI2DSMVQWIX3LMV43ASLTON2WKOZSGI2TINRYG43TSMI . You are receiving this because you are subscribed to this thread.Message ID: @.***>