Eddie Hebert 433f97c38f ENH: Improve headline Sharpe risk calculations. ...

This could perhaps be labelled BUG, as well.

Change the Sharpe (and algorithm volatiilty) value used to compare
algorithms/backtests so that it is annualized and uses daily returns.

Previously, the Sharpe metric was using the same calculation style
as the fixed size periods, i.e. 3 Month, 6 Month, etc., which can
use the geometric mean when comparing against the risk free.

Change the Sharpe calculation to use the arithmetic mean differenc
against the risk free rate, using daily (non-compounded) values.

Also, use annualized mean returns.

2013-10-10 18:37:53 -04:00

..

finance

MAINT: Return orders alongside transactions from slippage simulate.

2013-06-19 16:35:05 -04:00

risk

ENH: Improve headline Sharpe risk calculations.

2013-10-10 18:37:53 -04:00

__init__.py

Moved the test folder.

2012-05-09 13:34:13 -04:00

test_algorithm_gen.py

DEV: Don't invoke hardwired Python

2013-06-14 15:38:45 -04:00

test_algorithm.py

ENH: Add option of instantly filling orders.

2013-10-01 20:30:01 -04:00

test_batchtransform.py

BUG: Typo in test_batchtransfom.

2013-08-08 16:01:22 -04:00

test_blotter.py

MAINT: Ensure the sign of the result is positive

2013-09-23 16:12:17 -04:00

test_data_util.py

ENH: prototype data structure for managing a rolling datapanel

2013-04-29 15:19:02 -04:00

test_events_through_risk.py

ENH: Improve headline Sharpe risk calculations.

2013-10-10 18:37:53 -04:00

test_examples.py

TST: Added unittest that runs all examples.

2013-05-02 16:33:08 -04:00

test_exception_handling.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00

test_finance.py

STY: autopep8 codebase.

2013-08-08 16:46:44 -04:00

test_perf_tracking.py

BUG: Fix div-by-zero error in cost_basis adjustment.

2013-08-27 13:24:06 -04:00

test_sources.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00

test_tradingcalendar.py

ENH: Added early closes to trading environment

2013-07-16 12:02:34 -04:00

test_transforms.py

ENH: Enable TALib transforms to perform on multiple stocks.

2013-07-10 14:40:58 -04:00

test_utils.py

REL: Update copyright on all files touched since end of 2012.

2013-04-05 14:28:15 -04:00