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Dynamically Adjust Risk Free Rate of Return (#7489)
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Browse Source 
* First attempt to solve the bug

* Enhance implementation

* Enhance implementation

* Simplify implementation

* Rebase regression stats

* Solve unit test bugs

* Review

* Update Rolling.Sharpe() method

* Update regression stats

* Update unit tests

* Update missing regression algos

* Update Rolling.cs

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
This commit is contained in:
Ricardo Andrés Marino Rojas
2023-10-02 11:42:28 -05:00
committed by GitHub
parent b29e009d4d
commit b4bad69772
260 changed files with 732 additions and 717 deletions
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Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs
+3 -3
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@@ -138,18 +138,18 @@ namespace QuantConnect.Algorithm.CSharp
{"Drawdown", "11.000%"},
{"Expectancy", "0"},
{"Net Profit", "-10.343%"},
{"Sharpe Ratio", "-1.696"},
{"Sharpe Ratio", "-1.708"},
{"Probabilistic Sharpe Ratio", "0.009%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "-0.924"},
{"Alpha", "-0.974"},
{"Beta", "-5.612"},
{"Annual Standard Deviation", "0.587"},
{"Annual Variance", "0.345"},
{"Information Ratio", "-1.517"},
{"Tracking Error", "0.664"},
{"Treynor Ratio", "0.177"},
{"Treynor Ratio", "0.179"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},