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I forked your project and added a financial metrics analysis package. .067 sharpe ratio, .11 sortino, largest drawdown was ~41% Not very good numbers. Fun st
by chasebank 5y ago
I forked your project and added a financial metrics analysis package.
.067 sharpe ratio, .11 sortino, largest drawdown was ~41%
Not very good numbers. Fun stuff though!
[0] https://github.com/maxto/ubique https://github.com/maxto/ubique
- jalopy 5y agoIf there a link to your fork?
- fullstackchris 5y agoall forks on GitHub are public, i took the liberty and did some snooping, the only fork which had some new commits was this one: https://github.com/jesshowe/SectorTradingAlgorithm https://github.com/jesshowe/SectorTradingAlgorithm