csv_data.csv
Missing file
cad_ig_er_index
cad_ig_sprds
vix
us_hy_er_index
us_ig_er_index
spx_index
cad_ig_er_index
50-period MAus_ig_er_index
50-period MAus_hy_er_index
50-period MAspx_index
50-period MAcad_ig_er_index
50-period MAus_ig_er_index
50-period MAus_hy_er_index
50-period MAspx_index
50-period MAcad_ig_er_index
, have been visualized. The chart now includes:cad_ig_er_index
50-period MAus_ig_er_index
50-period MAus_hy_er_index
50-period MAspx_index
50-period MAcad_ig_er_index
Strategy | Total Return | Annualized Return | Annualized Volatility | Sharpe Ratio | Max Drawdown |
---|---|---|---|---|---|
cad_ig_er_index | 0.630653 | 0.029186 | 0.028213 | 1.033633 | -0.037619 |
us_ig_er_index | 1.053175 | 0.043232 | 0.030857 | 1.386994 | -0.047829 |
us_hy_er_index | 1.081278 | 0.044067 | 0.029449 | 1.478945 | -0.049365 |
spx_index | 0.947962 | 0.040009 | 0.031768 | 1.250705 | -0.061669 |
buy_and_hold | 0.375924 | 0.018952 | 0.039354 | 0.496758 | -0.208533 |
Rolling
object does not have a sharpe_ratio
method. Instead, we need to calculate the rolling mean and standard deviation of returns, and then compute the rolling Sharpe Ratio manually.