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3 votes

Is there an encyclopedia of peformance/risk measures for backtests of strategies?

You can use quantstats in Python. https://github.com/ranaroussi/quantstats
SachaTheBrave's user avatar
3 votes

How to interpret the turnover formula?

This is a very standard approach for measuring turnover from portolio weights. First, assume there are no buys or sales during the month. Then we can predict the weights at the end of the month from ...
nbbo2's user avatar
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2 votes

How to interpret the turnover formula?

To add onto Julien's comments, you should add the labels for the variables and what they mean. The turnover (or change in weight per asset $i$) is due to this term: $Retained\:Weights=\frac{w_i (1+r_{...
KaiSqDist's user avatar
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1 vote

Is there an encyclopedia of peformance/risk measures for backtests of strategies?

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 ...
rubetron's user avatar
1 vote

Is "Information Coefficient" correlation or rank correlation?

In a scientific field there is no ultimate judge or authority than can tell you what the "right answer" is. You can look at various authors that you respect to see how they define and use a ...
nbbo2's user avatar
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