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定义了计算指数相关评价指标的类,包括夏普比、年化收益、卡玛比例、夏普比率、索提诺比率、最大回撤、下行波动率、偏度、斜度等11个指标,并计算出各指数60日的年化上述指标,同时又采用多进程的方法进行了改进。

Python 100.00%

indicatorcalculation's Introduction

IndicatorCalculation

Indicator.py文件

该文件定义了一个IndicatorCalculator的类,该类包含了计算各个金融常用指标的函数。 指标如下:

年化波动率,年化收益率,累积收益率,夏普比,最大回撤,卡玛比率,年化下行波动率,索提诺比率,skeness,kurtosis,average_Top5MaxDrawdown共计11个金融指标。

main.py文件

该文件主要是计算各个行业指数滚动60日的金融指标,具体指标即Indicator.py中计算的指标。

计算出指标数值之后,将指标画图并放入pdf中保存至本地。

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