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quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.
https://quantopian.github.io/empyrical
Apache License 2.0
1.28k stars 399 forks source link

Add Additional Calculations & Rolling Periods #46

Closed cgdeboer closed 6 years ago

cgdeboer commented 7 years ago

@twiecki and friends, I'm working on the project that requires many of the same calculations that are performed in this repo, but also several others. I am starting to work on a PR to add a variety of other statistical measures as well as a framework for getting rolling metrics on those things.

Here are a few examples of additional metrics: up-capture, down-capture, tracking-error.

Would like to add some ability to create rolling metrics. eg: Rolling 60-day Max Drawdown, Rolling 12 month Tracking Error

Before I start this work in earnest, I want to ensure that you all are open to expanding the calculation and capability set. Also, I can include a correct calculation of information ratio.

twiecki commented 7 years ago

@cgdeboer That would be much appreciated and we'd be more than happy to work with you on this.

cgdeboer commented 7 years ago

Great ! I'll post an initial PR tomorrow or early next week as a "Work In Progress" so I can get some initial thoughts from you.