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So far I found cumulative returns, time in market, average drawdown and average drawdown days to be different but there could be others.
You can reproduce this issue with the following code:
version: quantstats 0.0.62
np.random.seed(0)
ts = pd.Series(np.random.randint(1, high=4, size=12), index=pd.date_range(start='2021-05-01', periods=12))
qs.reports.full(ts, compounded=True)
Strategy
------------------------- -----------------
Start Period 2021-05-01
End Period 2021-05-12
Risk-Free Rate 0.0%
Time in Market 67.0%
Cumulative Return 200.0%
CAGR﹪ 8519501800313.54%
Sharpe 6.62
Prob. Sharpe Ratio 95.99%
Smart Sharpe 3.4
qs.reports.metrics(ts, compounded=True)
Strategy
------------------ -----------------
Start Period 2021-05-01
End Period 2021-05-12
Risk-Free Rate 0.0%
Time in Market 100.0%
Cumulative Return 11,059,100.00%
CAGR﹪ 8519501800313.54%
Sharpe 6.62
Prob. Sharpe Ratio 95.59%
Sortino 20.04
The text was updated successfully, but these errors were encountered:
Gives you values that are rounded. Max Drawdown for example comes back as -0.08 if the drawdown was -8.38% for example. I have been unable to find any option that would change the output values so they are not rounded. What you can do is can pass internal=True like:
But, this will return strings of numbers used in the HTML report. So, for Max Drawdown for example you would get back "-8.3%", which is better than -0.08. But since this is a string, also not exactly what you want.
You could use the qs.stats method to return un-rounded values, but that is less elegant as you need to know all the key names for each stat. For instance, you could call:
mdd = qs.stats.max_drawdown()
This will get you the full value, which you can then round / multiply how you want. I was hoping I could get the the qs.metrics method to return all the un-rounded values.
So far I found cumulative returns, time in market, average drawdown and average drawdown days to be different but there could be others.
You can reproduce this issue with the following code:
The text was updated successfully, but these errors were encountered: