Key Performance Indicator and Backtesting
Project description
Key Performance Indicator and Backtesting
Usage:
- Measuring expected performance of a trading strategy by testing it on historical data.
- Measure both risk and return characterstics of the statergy.
- History Repeats Itself - Historical performance forecasts future performance.
Popular performance measures include
- Cumulative Annual Growth Rate
- Annualized Voltility
- Sharpe Ratio
- Sortino Ratio
- Maximum Drawdown
- Calmar Ratio
Installation
pip install KPIs
Importing Methods
from KPIs import(
CAGR,
Volatility,
SharpeRatio,
Sortino,
MaxDrawdown,
Calmar,
)
Calling a function
CAGR_Value=CAGR(ticker)
print("Cumulative annual growth rate of {} = {}".format(ticker,CAGR_Value))
Example
from KPIs import(
CAGR,
)
ticker="AMZN"
CAGR_Value=CAGR(ticker)
print("Cumulative annual growth rate of {} = {}".format(ticker,CAGR_Value))
Note
- I have tried to implement all key performance measures, will be updating with more methods soon. Thanks for your patience.
Change Log
0.1
-First Release
Project details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
KPIs-0.1.tar.gz
(3.2 kB
view hashes)