Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Capture ratio support annualization? #87

Open
huaiweicheng opened this issue Mar 20, 2018 · 0 comments
Open

Capture ratio support annualization? #87

huaiweicheng opened this issue Mar 20, 2018 · 0 comments

Comments

@huaiweicheng
Copy link

Here is my scenario.
I have returns, which is measured by quarter.
Then I wanna to calculate the up and down capture ratios using empyrical.
However, I find the capture function in stats.py does not support annualization.

image

Thus, I cannot make the calculation.
Simply Adding the annualization param will be fine since the annual function support the annualization param.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

1 participant