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ranaroussi / quantstats

Portfolio analytics for quants, written in Python
Apache License 2.0
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The columns of "strategy" and "benchmark" are upside down. #20

Closed jjaviergalvez closed 1 year ago

jjaviergalvez commented 4 years ago

Hi Ran. Thanks for the library :)

The issue I'm reporting is that the columns in the tearsheet are not correct and need to be swapped. For instance, in the following image, Cumulative Return and Time in Market is evidence that values don't correspond to the column.

Screenshot from 2019-12-12 17-35-30

Cheers!

Sigmares commented 4 years ago

Hi @ranaroussi . Thank you for this great library.

I realized the same issue than mentioned by @jjaviergalvez, I would even say that the tearsheet is mixing metrics from both columns.

qs.reports.full(all_weather, "SPY") Strategy Benchmark

Start Period 2006-02-07 2006-02-07 End Period 2020-04-06 2020-04-06 Risk-Free Rate 0.0% 0.0% Time in Market 100.0% 100.0%

Cumulative Return 176.18% 55.88% CAGR% 7.43% 3.18% Sharpe 0.46 0.33 Sortino 0.64 0.45 Max Drawdown -55.19% -38.63% Longest DD Days 1772 1310 Volatility (ann.) 11.62% 20.09% R^2 0.55 0.55 Calmar 0.13 0.08 Skew -0.04 -0.38 Kurtosis 16.38 7.38

Expected Daily % 0.04% 0.04% Expected Monthly % 0.86% 0.86% Expected Yearly % 10.22% 10.22% Kelly Criterion 2.94% -0.51% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -1.19% -2.05% Expected Shortfall (cVaR) -1.19% -2.05%

Payoff Ratio 0.86 0.87 Profit Factor 1.1 1.06 Common Sense Ratio 0.97 1.03 CPC Index 0.52 0.49 Tail Ratio 0.88 0.97 Outlier Win Ratio 3.64 5.49 Outlier Loss Ratio 3.76 6.0

MTD 1.59% 1.76% 3M -18.31% -14.39% 6M -10.08% -8.91% YTD -18.17% -13.44% 1Y -7.4% -7.17% 3Y (ann.) 5.74% 1.58% 5Y (ann.) 6.98% 1.32% 10Y (ann.) 10.42% 2.54% All-time (ann.) 7.43% 3.18%

Best Day 14.52% 6.27% Worst Day -10.94% -5.11% Best Month 10.92% 8.29% Worst Month -16.52% -16.25% Best Year 32.31% 19.02% Worst Year -36.79% -18.84%

Avg. Drawdown -1.74% -2.52% Avg. Drawdown Days 23 57 Recovery Factor 3.19 1.45 Ulcer Index 1.02 1.02

Avg. Up Month 3.36% 2.42% Avg. Down Month -4.29% -3.22% Win Days % 55.2% 53.16% Win Month % 67.25% 56.73% Win Quarter % 74.14% 70.69% Win Year % 80.0% 66.67%

Beta 0.43 - Alpha -0.0 -

Kind regards!

brunosafa commented 3 years ago

@Sigmares @jjaviergalvez @ranaroussi How can I read data from a CSV file and use QuantStats with it?

Thank you, Bruno