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Add Additional Calculations & Rolling Periods #46

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cgdeboer opened this issue May 18, 2017 · 2 comments
Closed

Add Additional Calculations & Rolling Periods #46

cgdeboer opened this issue May 18, 2017 · 2 comments

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@cgdeboer
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@twiecki and friends, I'm working on the project that requires many of the same calculations that are performed in this repo, but also several others. I am starting to work on a PR to add a variety of other statistical measures as well as a framework for getting rolling metrics on those things.

Here are a few examples of additional metrics: up-capture, down-capture, tracking-error.

Would like to add some ability to create rolling metrics. eg: Rolling 60-day Max Drawdown, Rolling 12 month Tracking Error

Before I start this work in earnest, I want to ensure that you all are open to expanding the calculation and capability set. Also, I can include a correct calculation of information ratio.

@twiecki
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twiecki commented May 18, 2017

@cgdeboer That would be much appreciated and we'd be more than happy to work with you on this.

@cgdeboer
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Great ! I'll post an initial PR tomorrow or early next week as a "Work In Progress" so I can get some initial thoughts from you.

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