ENH: Add *annualized* return/volatility/Sharpe/Sortino stats #156
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kernc
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This is great. I like how you handled the 365 vs 252 days, I also agree with sticking to same method for both calculations. Strange why empyrical would have used a different method. I look forward to playing with this and testing it out. BTW, on a side note, my family is in Slovenia right now. They tell me it is an amazing place with wonderful people. I've never been, I wish I could have gone with them. |
Annualization is assumed and keeps labels backcompat.
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I think they just went for metrics as initially defined (in their respective papers). Makes sense to be in line with other tools. I can expect further sporadic issues inquiring about values deviating from well-known expectations. Thanks. It's great for hiking this year. General tourism, I guess, not so much. 😄 |
eervin123
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Fixes #150
Where the measurements (slightly) deviate across implementations (e.g. empyrical from Quantopian; it's what pyfolio uses), ours are the more conservative and statistically superior measures.
@eervin123 This is what I came up with. Welcome a quick look over / comments.