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Risk

Functions for computing risk metrics.

sigmaquant.performance.risk.drawdown	Compute the drawdown series.
sigmaquant.performance.risk.max_drawdown	Compute the maximum drawdown.
sigmaquant.performance.risk.annual_vola	Compute annualized volatility.
sigmaquant.performance.risk.downside_risk	Compute downside risk (semi-deviation).
sigmaquant.performance.risk.upside_risk	Compute upside risk (upside semi-deviation).
sigmaquant.performance.risk.time_underwater	Count consecutive underwater periods.
sigmaquant.performance.risk.drawdown_stats	Compute summary statistics for drawdowns.
sigmaquant.performance.risk.tail_ratio	Compute the tail ratio.