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microsoft / qlib

Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.
https://qlib.readthedocs.io/en/latest/
MIT License
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What are the meanings of metrics of benchmarks performance? Why is Sharpe Ratio not included in the metrics? #919

Closed Waterkin closed 2 years ago

Waterkin commented 2 years ago

❓ Questions and Help

We sincerely suggest you to carefully read the documentation of our library as well as the official paper. After that, if you still feel puzzled, please describe the question clearly under this issue.

you-n-g commented 2 years ago

What are the meanings of metrics of benchmarks performance?

  • Can this PR answer your question?

Why is Sharpe Ratio not included in the metrics?

  • Sharp Ratio and Information ratio are both evaluation metrics which consider both return and risk.
  • Sharp Ratio is compared to risk-free return. Information ratio is compared to a specific benchmark. In our forecasting tasks, the model are predicting the excess return of stocks to CSI300 instead of risk-free return. So information ratio is a more reasonable metric.
Waterkin commented 2 years ago

Thanks for your reply, young.