wapebira
wapebira
/ PartialMomentsAdjustedReturns.py
Created
January 5, 2021 00:47
— forked from StuartGordonReid/PartialMomentsAdjustedReturns.py
Risk adjusted returns based on Lower Partial Moments
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| """ | |
| Note that this Gist uses functions made available in another Gist - | |
| https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856 | |
| """ | |
| def omega_ratio(er, returns, rf, target=0): | |
| return (er - rf) / lpm(returns, target, 1) | |
wapebira
/ DrawdownAdjustedReturns.py
Created
January 5, 2021 00:47
— forked from StuartGordonReid/DrawdownAdjustedReturns.py
Risk adjusted returns based on Drawdown risk
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
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| """ | |
| Note that this Gist uses functions made available in another Gist - | |
| https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856 | |
| """ | |
| def calmar_ratio(er, returns, rf): | |
| return (er - rf) / max_dd(returns) | |