Comments (2)
Hi @ranaroussi . Thank you for this great library.
I realized the same issue than mentioned by @jjaviergalvez, I would even say that the tearsheet is mixing metrics from both columns.
qs.reports.full(all_weather, "SPY")
Strategy Benchmark
Start Period 2006-02-07 2006-02-07
End Period 2020-04-06 2020-04-06
Risk-Free Rate 0.0% 0.0%
Time in Market 100.0% 100.0%
Cumulative Return 176.18% 55.88%
CAGR% 7.43% 3.18%
Sharpe 0.46 0.33
Sortino 0.64 0.45
Max Drawdown -55.19% -38.63%
Longest DD Days 1772 1310
Volatility (ann.) 11.62% 20.09%
R^2 0.55 0.55
Calmar 0.13 0.08
Skew -0.04 -0.38
Kurtosis 16.38 7.38
Expected Daily % 0.04% 0.04%
Expected Monthly % 0.86% 0.86%
Expected Yearly % 10.22% 10.22%
Kelly Criterion 2.94% -0.51%
Risk of Ruin 0.0% 0.0%
Daily Value-at-Risk -1.19% -2.05%
Expected Shortfall (cVaR) -1.19% -2.05%
Payoff Ratio 0.86 0.87
Profit Factor 1.1 1.06
Common Sense Ratio 0.97 1.03
CPC Index 0.52 0.49
Tail Ratio 0.88 0.97
Outlier Win Ratio 3.64 5.49
Outlier Loss Ratio 3.76 6.0
MTD 1.59% 1.76%
3M -18.31% -14.39%
6M -10.08% -8.91%
YTD -18.17% -13.44%
1Y -7.4% -7.17%
3Y (ann.) 5.74% 1.58%
5Y (ann.) 6.98% 1.32%
10Y (ann.) 10.42% 2.54%
All-time (ann.) 7.43% 3.18%
Best Day 14.52% 6.27%
Worst Day -10.94% -5.11%
Best Month 10.92% 8.29%
Worst Month -16.52% -16.25%
Best Year 32.31% 19.02%
Worst Year -36.79% -18.84%
Avg. Drawdown -1.74% -2.52%
Avg. Drawdown Days 23 57
Recovery Factor 3.19 1.45
Ulcer Index 1.02 1.02
Avg. Up Month 3.36% 2.42%
Avg. Down Month -4.29% -3.22%
Win Days % 55.2% 53.16%
Win Month % 67.25% 56.73%
Win Quarter % 74.14% 70.69%
Win Year % 80.0% 66.67%
Beta 0.43 -
Alpha -0.0 -
Kind regards!
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@Sigmares @jjaviergalvez @ranaroussi
How can I read data from a CSV file and use QuantStats with it?
Thank you,
Bruno
from quantstats.
Related Issues (20)
- stats.py: res = abs(total + 1.0) ** (1.0 / years) - 1 <-- ZeroDivisionErrorZeroDivisionError HOT 1
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- Cumulative Performance in reports.html does not calculate correctly HOT 4
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- utils.make_index : TypeError: unsupported operand type(s) for +: 'float' and 'str' HOT 8
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- TypeError: pivot() takes 1 positional argument but 4 were given in quantstats.reports.html HOT 1
- monthly returns plot do not shouw the returns num in figure HOT 2
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