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Added Calmar and Sortino ratios #11
Conversation
Forgot to add monthly Sortino - fixed now
Hey @Anjum48, Sorry I didn't get back to you - totally lost track. Let me take a look and I will merge your commits in if all is well. Thanks for your contribution! Cheers, |
I just updated to the latest FFN release (0.1.12), but I did not see these ratios included. Any chance they can be merged in anytime soon? |
I'm interested in the Sortino ratio too. Phil, is this going to be merged? |
Sorry guys - totally forgot about this. I'll submit the PR again and see if it'll merge |
Sorry all - let me get on this asap! |
Ok I merged it in and just refactored your code a bit afterwards. Now we have Thanks again for your contribution and sorry for taking so long to reply. |
Hi, Calmar ratio actually isn't CAGR / MaxDD. What we have in ffn is called MAR: Unlike MAR, Calmar uses (typically) 36 month periods to evaluate performances. While both are useful risk-adjusted metrics, calling MAR Calmar is a misnomer in my opinion. Any chance Calmar is renamed as MAR ratio? |
As per issue #10.
For the Calmar Ratio I used the method discussed here: http://investexcel.net/calmar-ratio/
For the Sortino Ratio I used this method: http://investexcel.net/calculate-the-sortino-ratio-with-excel/
I think I've implemented them correctly, but it might need a skilled eye to sense check it :)