Hi,
Can we have plugable stats?
S
Hi Suminda,
Could you elaborate? I'm not sure I know just what you mean by plugable stats.
thanks,
fawce
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Like you have displayed some stats like Sharpe Ratio I want to add some of my own stats or own calculation for an existing stat like own benchmark for IR etc.
Hello Suminda,
That's a neat idea. We don't have a facility for that at this point - at least not a full-featured one where you could create a stat and get the full treatment like our built-in risk metrics. I'll look into adding that in a future revision.
We do have a couple of workarounds. You can make any calculation you like and then log it or graph it (using the record feature). A custom risk metric would work just fine there.
If you have a mainstream metric that we just haven't gotten to yet, you might consider adding it to Zipline. Both Sortino and Information Ratio were added to Quantopian by the community; once it was added to Zipline we were able to add it to the Quantopian interface.
Thanks,
Dan
Disclaimer
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.
Certain ratios have different treatments. I want this functionality make sure what I see is what I expect. At the moment this is not a show stopper from my side to go the extra mile to do the graphs and all. If you add a easy to use feature to do it I would use it. Also I see the rolling stats are for less than a year. I like to see more than 1 year. Ideally leave this configurable. In displaying less than a year and more than a year the stats must have how annualising is handled. Also the flexibility to annualise or not and event specify another period. This is more relevant in VaR but make the feature generic. E.g. 1D VaR, 1W VaR, 1M VaR, etc.
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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.