qis.RollingPerfStat¶

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

Bases: Enum

enumerated tuple for name and format

__init__(*args, **kwds)¶

Attributes

`TOTAL_RETURNS`
`PA_RETURNS`
`VOL`
`SHARPE`
`SKEW`
`EWMA_VOL`

TOTAL_RETURNS = ('Total returns', '{:.2%}')¶

PA_RETURNS = ('Pa returns', '{:.2%}')¶

VOL = ('Volatility', '{:.2%}')¶

SHARPE = ('Sharp ratio', '{:.2f}')¶

SKEW = ('Skeweness', '{:.2f}')¶

EWMA_VOL = ('EWMA vol', '{:.2%}')¶