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doganmehmet / PortfolioAnalytics.jl

MIT License
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CAGR (Compound Annual Growth Rate) #9

Open femtotrader opened 2 months ago

femtotrader commented 2 months ago

Hello,

I'm looking at your lib and didn't find CAGR (Compound Annual Growth Rate).

Some Python implementations can be found here

qstrader https://github.com/mhallsmoore/qstrader/blob/c370f42497ad03eb77c56cea31eccc770ffee992/qstrader/statistics/performance.py#L29

quantstats https://github.com/ranaroussi/quantstats/blob/fa0a91a42400978bcc95f5f2fb2cf20e6f7af56c/quantstats/stats.py#L515

blankly-finance https://github.com/blankly-finance/blankly/blob/7fe1976b9db9132e798ba82b84b0522d18747dd7/blankly/metrics/portfolio.py#L27 https://github.com/blankly-finance/blankly/blob/7fe1976b9db9132e798ba82b84b0522d18747dd7/tests/metrics/test_portfolio_metrics.py#L32

empyrical https://quantopian.github.io/empyrical/_modules/empyrical/stats.html#cagr

Kind regards

doganmehmet commented 2 months ago

Sure, I will add this.