Comments (2)
analicia
commented on August 22, 2024
Interesting metric, I've never seen it before. Input can be a list or dataframe of closed trades, what do you think?
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twiecki
commented on August 22, 2024
Yeah, specifying trades is actually not a straight-forward concept. In pyfolio we have round_trip.py for that which we could use to create it. But yeah, that list/dataframe as input here sounds good.
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Related Issues (20)
- backwards compat: empyrical.cum_returns_final used to support dataframes HOT 2
- Literature for levy exponent in annual_volatility?
- Someone is name squatting HOT 5
- KeyError: 'date' HOT 4
- _create_unary_vectorized_roll_function(function) how to use parameters "out : array-like, optional"
- sharpe_ratio calculated correctly? HOT 2
- Pandas unable to import datareader deprecation error HOT 1
- Support Python >3.5 HOT 6
- Remove Series.strides from codebase (Pandas deprecation) HOT 2
- Link to sortino-related pdf no longer works
- Community Contributions HOT 3
- Uncaught Exception: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead. HOT 1
- ImportError: cannot import name 'information_ratio' from 'empyrical' HOT 1
- empyrical.stats.value_at_risk output is NaN
- Assertion error
- Safety Error on empyrical installed via conda-forge HOT 1
- roll_cagr not working
- error in cagr computation (when negative)
- python 3.12 versioner incompatible HOT 2
- max_drawdown returns pd.Series, not float HOT 4
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