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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
1.31k stars 406 forks source link

Add SQN metric #9

Open twiecki opened 8 years ago

twiecki commented 8 years ago

http://backtrader.readthedocs.io/en/latest/analyzers-reference.html#sqn

analicia commented 8 years ago

Interesting metric, I've never seen it before. Input can be a list or dataframe of closed trades, what do you think?

twiecki commented 8 years ago

Yeah, specifying trades is actually not a straight-forward concept. In pyfolio we have round_trip.py for that which we could use to create it. But yeah, that list/dataframe as input here sounds good.