Expand description
Trading performance statistics and portfolio metrics.
Modules§
- alpha
- Jensen’s alpha statistic (benchmark-relative).
- beta_
ratio - Beta statistic (benchmark-relative).
- cagr
- Compound Annual Growth Rate (CAGR) statistic.
- calmar_
ratio - Calmar Ratio statistic.
- expectancy
- information_
ratio - Information ratio statistic (benchmark-relative).
- long_
ratio - loser_
avg - loser_
max - loser_
min - max_
drawdown - Maximum Drawdown statistic.
- profit_
factor - returns_
avg - returns_
avg_ loss - returns_
avg_ win - returns_
volatility - risk_
return_ ratio - sharpe_
ratio - sortino_
ratio - tracking_
error - Tracking error statistic (benchmark-relative).
- treynor_
ratio - Treynor ratio statistic (benchmark-relative).
- win_
rate - winner_
avg - winner_
max - winner_
min