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.

Sign up for GitHub

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

Jump to bottom

[TASK] New metric in post processor #1259

Closed
10 tasks done
JiaZhou-PU opened this issue Jul 1, 2020 · 1 comment · Fixed by #1289
Closed
10 tasks done

[TASK] New metric in post processor #1259

JiaZhou-PU opened this issue Jul 1, 2020 · 1 comment · Fixed by #1289
Assignees
@JiaZhou-PU
Labels
priority_minor task This tag should be used for any new capability, improvement or enanchment

Comments

@JiaZhou-PU
Copy link
Collaborator

JiaZhou-PU commented Jul 1, 2020 •
edited by alfoa
Loading

Issue Description

Is your feature request related to a problem? Please describe.
New metrics are needed for optimizing the allocation capital between the constituent assets of the portfolio.

Describe the solution you'd like
For risk-adjusted return:

Sharpe ratio risk-free rate as 0
Sortino ratio
gain loss ratio:
the first-order higher partial moment of a portfolio's returns, divided by the first-order lower partial moment of a portfolio's returns.
value at risk
conditional value at risk

For Change Control Board: Issue Review

This review should occur before any development is performed as a response to this issue.

  • 1. Is it tagged with a type: defect or task?
  • 2. Is it tagged with a priority: critical, normal or minor?
  • 3. If it will impact requirements or requirements tests, is it tagged with requirements?
  • 4. If it is a defect, can it cause wrong results for users? If so an email needs to be sent to the users.
  • 5. Is a rationale provided? (Such as explaining why the improvement is needed or why current code is wrong.)

For Change Control Board: Issue Closure

This review should occur when the issue is imminently going to be closed.

  • 1. If the issue is a defect, is the defect fixed?
  • 2. If the issue is a defect, is the defect tested for in the regression test system? (If not explain why not.)
  • 3. If the issue can impact users, has an email to the users group been written (the email should specify if the defect impacts stable or master)?
  • 4. If the issue is a defect, does it impact the latest release branch? If yes, is there any issue tagged with release (create if needed)?
  • 5. If the issue is being closed without a pull request, has an explanation of why it is being closed been provided?
@JiaZhou-PU JiaZhou-PU added priority_minor task This tag should be used for any new capability, improvement or enanchment labels Jul 1, 2020
@JiaZhou-PU JiaZhou-PU changed the title New figure of merit in post processor New metric in post processor Jul 1, 2020
@JiaZhou-PU JiaZhou-PU assigned JiaZhou-PU and unassigned alfoa Jul 1, 2020
@JiaZhou-PU JiaZhou-PU changed the title New metric in post processor [TASK] New metric in post processor Jul 1, 2020
@JiaZhou-PU JiaZhou-PU mentioned this issue Jul 29, 2020
Merged
9 tasks
@alfoa
Copy link
Collaborator

alfoa commented Oct 9, 2020

Closure checklist passed...

Closure approve via PR #1289

alfoa added a commit that referenced this issue Oct 9, 2020
@JiaZhou-PU @alfoa
Finance metrics and median calculation (#1289)
b9aceef 
Added financial metric: Sharpe ratio risk-free rate as 0, Sortino ratio, gain loss ratio, value at risk, conditional value at risk. Issue #1259. And Fixed the percentile calculation with shift one index upper.

Co-authored-by: ZHOUJ2 <[email protected]>
Co-authored-by: Andrea Alfonsi - INL <[email protected]>
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees

@JiaZhou-PU JiaZhou-PU

Labels
priority_minor task This tag should be used for any new capability, improvement or enanchment
Projects
None yet
Milestone
No milestone
Development

Successfully merging a pull request may close this issue.

Finance metrics and median calculation JiaZhou-PU/raven
2 participants
@alfoa @JiaZhou-PU