December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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Summary – performance statistics
pyfolio offers several analytic functions and plots. The perf_stats summary displays the annual and cumulative returns, volatility, skew, and kurtosis of returns and the SR. The following additional metrics (which can also be calculated individually) are most important:
- Max drawdown: Highest percentage loss from the previous peak
- Calmar ratio: Annual portfolio return relative to maximal drawdown
- Omega ratio: The probability-weighted ratio of gains versus losses for a return target, zero per default
- Sortino ratio: Excess return relative to downside standard deviation
- Tail ratio: Size of the right tail (gains, the absolute value of the 95th percentile) relative to the size of the left tail (losses, abs. value ...
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