Risk Metrics: Crypto Version

תיאור

⋅ 4 ספט׳ 2020 22:44

Risk Metrics for Crypto.
Market can be set to BTCUSD, BTCEUR, BTCCHF, BTCGBP, BTC1!, BTC2!, SPX, and DTB3
Beta
Correlation
Standard Deviation
Variance
R-squared

הערות שחרור

⋅ 5 ספט׳ 2020 04:22

//update

הערות שחרור

⋅ 5 ספט׳ 2020 04:24

//update removed variable

הערות שחרור

⋅ 6 ספט׳ 2020 20:56

//added log-returns + geometric returns

תגובות

aStoicsTradingTools

⋅ 13 נוב׳ 2020 20:00

Hello there,
Do you think you could make similar statistics for strategies ?
I'm currently working on trying to compute the sortino on my strategies

Maximalist1997

⋅ 15 ינו׳ 2022 17:45

@aStoicsTradingTools, Did you manage do it?

aStoicsTradingTools

⋅ 16 ינו׳ 2022 10:51

@Maximalist1997, No, but tradingview added the sortino ratio

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