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Cumulative Performance in reports.html does not calculate correctly #343
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Try this: Note also that some others are now maintaining @ https://github.com/Lumiwealth/quantstats_lumi |
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. Can you please let me know what is the right way of entering the Risk Free value in the report.html? 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? |
I also changed to use https://github.com/Lumiwealth/quantstats_lumi |
Hello - It seems to me that the Cumulative Performance in reports.html does not calculate correctly possibly since the point in time where the Strategy performance goes (incidentally) negative - the Sharpe ratio calculation seems okay overall, but if I use the qs.reports.html method as below:
qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "..path../Strategy Tearsheets/strategy_report.html")
the Cumulative Performance calculation does not adds up correctly, it overestimates my manual calculations. The reports shows 106.83% while I have 84.97% (easily verifiable in my excel file). I made some simulations and it seems the problem arises since the Strategy goes negative, when it goes up, the Report.html overestimate it
Also - it would be nice to know how the risk free has to be entered (here I set rf rate = 0.000066 (shown in the chart as 0.01%), for a 10Y Treasury at 4.25%, is that correct?). I am using 0.000066 as the RF 10Y US Daily Return with a 10Y Treasury at 4.25% should be 0.0066% (formula I am using I Excel is =(POWER((1+4.25),(1/252))-1)/100)
Thank you
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