Analysing a backtest of a strategy i.e., a series of returns of a defined period we can consider various metrics such as the Sharpe-ratio or more exotic ones like the Omega-ratio. What I was wondering: is there an encyclopedia that covers (really many) of these ratios? E.g., the R package AssetAllocation by Alex Rubesam offers many risk measures for a given backtest, and I would like to be able to provide a definition of as many of them as possible.
$\begingroup$
$\endgroup$
Add a comment
|
2 Answers
$\begingroup$
$\endgroup$
1
You can use quantstats in Python. https://github.com/ranaroussi/quantstats
-
1$\begingroup$ Thank you for pointing me to this package. However, my question aimed at a documentation of all these measures/stats. Does the package have this somewhere? Thanks! $\endgroup$– Richi WaCommented Aug 24, 2023 at 11:05
$\begingroup$
$\endgroup$
In my AssetAllocation package I made use of the PerformanceAnalytics package, which covers many of these metrics. Quantstats in Python offfers similar functionality. Maybe the documentation of these packages may offer some guidance or refer to some of the original papers. I'm not sure about a book that covers all of them. But typical finance textbooks will cover the main ones. For example, the book below has a section towards the end on risk-adjusted performance metrics.
