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Sharpe Ratio for Coinshift MVP #2

Open MattCMK opened 2 years ago

MattCMK commented 2 years ago

same as for Portfolio VaR, we need to provide Sharpe Ratio for a given set of assets (Portfolio) from Coinshift. Question: Can we calculate a Sharpe Ratio for the Portfolio as a whole or only for the individual assets in it?

leafyoung commented 2 years ago

Break down into following task

  1. Create portfolio sharpe ratio model with historical data fetching like var model does now. It will support holding spot token assets.

  2. For financial position (staking for LP, deposite for lending, veCRV for boosting, CVX for locking), it will the dependency with portfolio VaR for the interpretation from transaction logs. https://github.com/credmark/credmark-model-framework-py/issues/126