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Results tagged with programming
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user 15328
For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.
2
votes
1
answer
4k
views
How to calculate Sortino ratio from a weighted portfolio with Python?
In this working example I'm able to calculate a Sharpe ratio (with rf=0) from a weighted portfolio of 3 securities, but how can I modify the code bellow so it calculates a Sortino ratio ?
import numpy …
- 241
4
votes
1
answer
965
views
Why annualized return and cumultive return aren't equal over 1-year period with Performance ...
I use Performance Analytics package in R to compare annualized and cumulative return of a portfolio. My expectation is that both should be equal over a period of 1-year but results tell me I'm wrong.
…
- 241
3
votes
0
answers
154
views
How to take into account transaction fee of a backtest from a list of returns?
I have a list of booleans that correspond to buy and sell signals that I would like to backtest. To achieve this, I calculated the return ret of a security and when the signal is False I modify the co …
- 241