Copy page

• Copy page
• View source

Metrics

Functions for computing metrics.

sigmaquant.performance.metrics.sharpe_ratio	Compute the Sharpe ratio for a series of periodic returns.
sigmaquant.performance.metrics.sortino_ratio	Compute the Sortino ratio.
sigmaquant.performance.metrics.calmar_ratio	Compute the Calmar ratio.
sigmaquant.performance.metrics.omega_ratio	Compute the Omega ratio.
sigmaquant.performance.metrics.hit_rate	Compute the hit rate.
sigmaquant.performance.metrics.period_hit_rate	Compute the hit rate on aggregated periods.
sigmaquant.performance.metrics.skew	Compute the skewness of a return series.
sigmaquant.performance.metrics.excess_kurtosis	Compute the excess kurtosis of a return series.
sigmaquant.performance.metrics.tracking_error	Compute tracking error as the sample standard deviation of active returns.
sigmaquant.performance.metrics.information_ratio	Compute the Information Ratio.