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quantopian / pyfolio

Portfolio and risk analytics in Python
https://quantopian.github.io/pyfolio
Apache License 2.0
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Documentation about metrics #318

Closed junajo10 closed 7 years ago

junajo10 commented 8 years ago

Hello,

I am new using Pyfolio, is there any place where i can find documentation about these metrics? annual_return
annual_volatility
sharpe_ratio
calmar_ratio
stability
max_drawdown
omega_ratio
sortino_ratio
skewness
kurtosis
alpha
beta

twiecki commented 8 years ago

Good point, will add these.

analicia commented 8 years ago

@junajo10 Here is the link to the empyrical documentation. This library is used in the website and in pyfolio for risk calculations.

http://quantopian.github.io/empyrical/appendix.html#

junajo10 commented 8 years ago

Thanks, do you know if these metrics could be used with intraday strategies? I am using tick data. If you think there are better metrics than these ones, please let me know.