Risk Metrics: Crypto Version

Описание

⋅ 4 сен 2020 г., 22:44

Risk Metrics for Crypto.
Market can be set to BTCUSD, BTCEUR, BTCCHF, BTCGBP, BTC1!, BTC2!, SPX, and DTB3
Beta
Correlation
Standard Deviation
Variance
R-squared

Информация о релизе

⋅ 5 сен 2020 г., 04:22

//update

Информация о релизе

⋅ 5 сен 2020 г., 04:24

//update removed variable

Информация о релизе

⋅ 6 сен 2020 г., 20:56

//added log-returns + geometric returns

Комментарии

aStoicsTradingTools

⋅ 13 ноя 2020 г., 20:00

Hello there,
Do you think you could make similar statistics for strategies ?
I'm currently working on trying to compute the sortino on my strategies

Maximalist1997

⋅ 15 янв 2022 г., 17:45

@aStoicsTradingTools, Did you manage do it?

aStoicsTradingTools

⋅ 16 янв 2022 г., 10:51

@Maximalist1997, No, but tradingview added the sortino ratio

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