Alpha & Beta Calculation

Quantopian uses alpha and beta as the metric to judge strategy performance.I don't see any reason why we should not be able to use these calculations for our strategies either.



https://www.youtube.com/watch?v=acCZy9MqEWw

Additionally, these calculations should be included in the settings for custom fitness. Beta will always target the value 0.



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  • Votes +4
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Low
  • Assignee None

History

KL
#1

kainc301

18.03.2019 05:22

Task created

Rr
#2

Partizanas

18.03.2019 14:04
Voted for this task.
KL
#3

kainc301

23.03.2019 00:48

Description changed:

Quantopian uses alpha and beta as the metric to judge strategy performance.I don't see any reason why we should not be able to use these calculations for our strategies either.


https://www.youtube.com/watch?v=acCZy9MqEWw

Additionally, these calculations should be included in the settings for custom fitness. Beta will always target the value 0.



c
#4

Charles

23.03.2019 01:33
Voted for this task.
c
#5

Charles

23.03.2019 01:33
This would be great!
MF
#6

Mark Fric

02.05.2019 15:40

Milestone changed from Build 121 to Build 122

AA
#7

echelon

29.05.2019 21:08
Voted for this task.
MF
#8

Mark Fric

14.06.2019 10:35

Milestone changed from Build 122 to None

m
#9

Martin

10.08.2020 18:55
Voted for this task.
MF
#10

Mark Fric

26.10.2020 10:04

Milestone changed from Build 130 to None

MF
#11

Mark Fric

26.11.2020 10:50

Assignee changed from Jakub to None

Status changed from New to Archived


Votes: +4

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