qis.PerfStatsLabels¶

class qis.PerfStatsLabels(*values)[source]¶

Bases: Enum

enumerate some combinations for perf stat labels can refer through value perf_stats_labels=qis.PerfStatsLabels.DETAILED_WITH_DD.value perf_stats_labels=qis.PerfStatsLabels.DETAILED_WITH_DDVOL.value perf_stats_labels=qis.PerfStatsLabels.TOTAL_DETAILED.value

__init__(*args, **kwds)¶

Attributes

`SHARPE`
`DETAILED_EXCESS_SHARPE`
`DETAILED_SHARPE_RF0`
`DETAILED_WITH_DD`
`DETAILED_WITH_SKEW`
`DETAILED_LOG_SHARPE`
`DETAILED_WITH_DDVOL`
`TOTAL`
`TOTAL_DETAILED`

SHARPE = (PerfStat.Sharpe (rf=0),)¶

DETAILED_EXCESS_SHARPE = (PerfStat.P.a. return, PerfStat.Vol, PerfStat.Ex Sharpe)¶

DETAILED_SHARPE_RF0 = (PerfStat.P.a. return, PerfStat.Vol, PerfStat.Sharpe (rf=0))¶

DETAILED_WITH_DD = (PerfStat.P.a. return, PerfStat.Vol, PerfStat.Sharpe (rf=0), PerfStat.Max DD)¶

DETAILED_WITH_SKEW = (PerfStat.P.a. return, PerfStat.Vol, PerfStat.Sharpe (rf=0), PerfStat.Skewness)¶

DETAILED_LOG_SHARPE = (PerfStat.An. log return, PerfStat.Vol, PerfStat.Log Sharpe)¶

DETAILED_WITH_DDVOL = (PerfStat.P.a. return, PerfStat.Vol, PerfStat.Ex Sharpe, PerfStat.Max DD, PerfStat.Max DD/Vol)¶

TOTAL = (PerfStat.Total, PerfStat.Max DD)¶

TOTAL_DETAILED = (PerfStat.Total, PerfStat.P.a. return, PerfStat.Vol, PerfStat.Ex Sharpe, PerfStat.Max DD)¶