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lorisn avatar lorisn commented on May 23, 2024 1

I also changed to use https://github.com/Lumiwealth/quantstats_lumi
No all problems i had with the original library are fixed, check it out.

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GOATsann avatar GOATsann commented on May 23, 2024

Bump

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DannyMartens avatar DannyMartens commented on May 23, 2024

Try this:
qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "..path../Strategy Tearsheets/strategy_report.html", compunded=False)

Note also that some others are now maintaining @ https://github.com/Lumiwealth/quantstats_lumi

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manuelwithbmw avatar manuelwithbmw commented on May 23, 2024

Thank you @DannyMartens - the compound = False has not changed much.

I have also tried installing quantstats_lumi as well and I am comparing the results with quantstats.
I can see for now that Lumi overestimates (circa 10%) the Sharpe Ratio of the other library quantstats - anyway I seem to understand the Lumi version is better maintained? Anyway, this difference does not bother me too much

Can you please let me know what is the right way of entering the Risk Free value in the report.html?
If we have a US 10 yrs at 4.61% as of now, in the html.report function I am using the Avg RF Daily Returns which according to my calculations (for my time window of observation) would be 0.000066, so I am entering 0.000066 as below:

qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "/Users/.../Strategy Tearsheets/strategy_report.html")

Is this the right way to use RF rate here?

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