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Generic analysis techniques like Sharpe ratio #55

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0xJepsen opened this issue Oct 20, 2023 · 3 comments
Closed
1 of 5 tasks

Generic analysis techniques like Sharpe ratio #55

0xJepsen opened this issue Oct 20, 2023 · 3 comments
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@zachdt @kinrezC @Autoparallel
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data / analysis Tools and processes for analysis on strategies

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@0xJepsen
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0xJepsen commented Oct 20, 2023 •
edited by kinrezC
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There are a collection of classic portfolio analysis techniques that we should integrate into our analyze toolkit

  • Sharp Ratio
  • Raw Growth
  • Max Draw Down
  • Volatility
  • Momentum
@0xJepsen 0xJepsen added the data / analysis Tools and processes for analysis on strategies label Oct 20, 2023
@0xJepsen
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@zachdt add some detail here

@kinrezC
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kinrezC commented Oct 23, 2023

should also include some notion of expense ratio, in our case w/o management fees this would probably come down to portfolio maintenance costs (arb loss)?

@0xJepsen
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0xJepsen commented Nov 3, 2023

Let's close this to break it down to dynamic volatilities with static weights

@0xJepsen 0xJepsen closed this as completed Nov 3, 2023
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@zachdt @kinrezC @Autoparallel @0xJepsen