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  • API Reference
    • Performance Subpackage
    • Research Subpackage
    2. API Reference
    3. Performance Subpackage
    4. Rolling
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    Rolling#

    Functions for rolling metrics.

    sigmaquant.performance.rolling.rolling_metric

    Compute a rolling metric on a sequence of returns.
    Previoussigmaquant.performance.risk.tail_ratio Next sigmaquant.performance.rolling.rolling_metric

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