New Summary Statistics - Githubissues

QuantConnect / Lean

Lean Algorithmic Trading Engine by QuantConnect (Python, C#)

https://lean.io

Apache License 2.0

9.43k stars 3.2k forks source link

New Summary Statistics #8197

Open DerekMelchin opened 1 month ago

DerekMelchin commented 1 month ago

Expected Behavior

Backtest.TotalPerformance.PortfolioStatistics contains:

Calmar Ratio
Stability
Omega Ratio
Skew
Kurtosis
Tail Ratio
Common Sense Ratio
Gross Leverage

Actual Behavior

Not included

Potential Solution

N/A

Reproducing the Problem

N/A

System Information

N/A

Checklist

[x] I have completely filled out this template
[x] I have confirmed that this issue exists on the current master branch
[x] I have confirmed that this is not a duplicate issue by searching issues
[ ] I have provided detailed steps to reproduce the issue

keshavdalmia10 commented 1 month ago

I want to like to work on this.