Implement exponential mode for annualized_return calculation in risk_… #1433
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
github-actions
bot
added
the
waiting for triage
|
DimitarSivrev, I tried the exponential mode, but it seems still not correct. pls see here #1512 |
you-n-g
reviewed
May 17, 2023
| @@ -24,16 +24,14 @@ | |||
| logger = get_module_logger("Evaluate") | |||
|
|
|||
|
|
|||
| def risk_analysis(r, N: int = None, freq: str = "day"): | |||
| def risk_analysis(r, N: int = None, freq: str = "day", accumulation_mode = "summation"): | |||
There was a problem hiding this comment.
Please use Literal https://github.com/microsoft/qlib/blob/main/qlib/typehint.py#L13
| @@ -61,10 +61,16 @@ def cal_risk_analysis_scaler(freq): | |||
| warnings.warn("risk_analysis freq will be ignored") | |||
| if N is None: | |||
| N = cal_risk_analysis_scaler(freq) | |||
|
|
|||
| if accumulation_mode not in ["summation", "exponential"]: | |||
| raise ValueError("Invalid value for `accumulation_mode`. Only 'summation' and 'exponential' are supported") | |||
|
|
|||
| mean = r.mean() | |||
There was a problem hiding this comment.
This should be geometric mean if production is considered
| if accumulation_mode == "summation": | ||
| annualized_return = mean * N | ||
| else: | ||
| annualized_return = (np.prod(1 + r) - 1) | ||
| information_ratio = mean / std * np.sqrt(N) | ||
| max_drawdown = (r.cumsum() - r.cumsum().cummax()).min() |
There was a problem hiding this comment.
The maxdrawdown should also be changed if production is considered
| if accumulation_mode == "summation": | ||
| annualized_return = mean * N | ||
| else: | ||
| annualized_return = (np.prod(1 + r) - 1) | ||
| information_ratio = mean / std * np.sqrt(N) |
There was a problem hiding this comment.
I'm not sure if the annualized volatility should be chagned if production is considered.
But intuitively, the accumulated volatility and production vollatility is different.
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
My first contribution to Qlib,
Resolves #964
Description
This change allows the user to choose between accumulation mode and exponential mode when calculating the annualized_return in the risk_analysis function. The exponential mode uses the formula product of (1 + r_i) minus 1. A new parameter 'accumulation_mode' has been added to the risk_analysis function to control the mode of calculation. An error will be thrown if the parameter is not set to 'accumulation' or 'exponential'. I can resolve any issues with this change.
Types of changes