Adjust risk metrics - Githubissues

scrtlabs / catalyst

An Algorithmic Trading Library for Crypto-Assets in Python

http://enigma.co

Apache License 2.0

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Adjust risk metrics #78

Closed fredfortier closed 6 years ago

fredfortier commented 6 years ago

Risks metrics only compute daily: catalyst/finance/performance/tracker.py:354

There are other side effects as well seemingly associated with the benchmark values.

lenak25 commented 6 years ago

This issue is related to the altered empyrical library used within catalyst. We are closing this issue and will address the empyrical library update separately.