You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
I am feeding results from backtrader into quantstats (returns, positions, transactions, gross_lev = portfolio_stats.get_pf_items()). I really like the nice reports it creates, but I have a question related to positions versus return.
In functions like win_loss_ratio(returns). The returns should be given as input. However, what if I open 5 positions per day, 4 lose and 1 is a big win. Then this metric would just show win for the day. Instead, is there any merit on feeding positions instead? Many of the stats have this kind of position/daily returns question.
Related, we could also input low/high, to get more accurate Sharpe ratio etc.
The text was updated successfully, but these errors were encountered:
I am feeding results from backtrader into quantstats (
returns, positions, transactions, gross_lev = portfolio_stats.get_pf_items()
). I really like the nice reports it creates, but I have a question related to positions versus return.In functions like
win_loss_ratio(returns)
. The returns should be given as input. However, what if I open 5 positions per day, 4 lose and 1 is a big win. Then this metric would just show win for the day. Instead, is there any merit on feedingpositions
instead? Many of the stats have this kind of position/daily returns question.Related, we could also input low/high, to get more accurate Sharpe ratio etc.
The text was updated successfully, but these errors were encountered: