Added Serenity Index and modified UPI calc #112
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Did you also code the Smart Sharpe Ratio maybe? |
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@cryptocoinserver - added on 0.0.38 |
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Awesome! You are incredible 💪🏻 |
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Hi I've added to the metrics the Serenity index from this papar:
https://www.keyquant.com/Download/GetFile?Filename=%5CPublications%5CKeyQuant_WhitePaper_APT_Part1.pdf also in attachment.
KeyQuant_WhitePaper_APT_Part1.pdf
I've also modified the UPI calculation, invoking the ulcer index function, removing copied code and calculating the drawdown on prices and not on daily returns
Ciao,
Giuseppe