metrics(init, cur, start, end, alpha) Calculates APT metrics Parameters: init (float): Starting Equity (strategy.initial) cur (float) start (int): Start date (UNIX) end (int): End Date (UNIX) alpha (float): Confidence interval for DaR/CDaR. Defval = 0.05 Returns: Plots table with APT metrics
The metrics are shown in the bottom pane being applied to a buy-and-hold strategy.
PLEASE NOTE: This is the first draft of the library. Some calculations may be incorrect. If you spot any mistakes then please let me know and I will correct them as soon as possible. I am also open to suggestions on how to improve this.
At the moment this only works on the daily timeframe until I can find a way to universally calculate annualized volatility.