I was wondering where I can find the definition of the "Volatility" metric that is calculated on the Backtest results screen in Qunatopian? Specifically, I was wondering if this is simply the Standard Deviation or Variance of the portfolio return series.
thanks,
Chris
Hello Chris,
It's the standard deviation. We need to write up those definitions and put them on the help doc - haven't gotten to that yet.
If you're in the mood to do some digging, you can find the actual calculation in zipline. The calculations in zipline are built around our "answer key" which you can download and explore. Neither of those is a convenient answer, I'm sorry to say.
Dan
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Dan Dunn thanks, it is very useful.
Is it possible to create 'answer key' for any strategy? For example, by adding the following lines somewhere in my strategy file:
from annotation_utils import Markdown
import answer_key
Markdown("""Download link for latest answer key: [{latest_answer_key_url}]({latest_answer_key_url})
""".format(latest_answer_key_url=answer_key.LATEST_ANSWER_KEY_URL))
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.