Using with periods_per_year = 52

[MarcosBizont]

I am wondering if anybody is using this library with periods parameters different than 365.

I am finding multiple issues (Sortino is all over the place), but before I put together a patch, I want to know if anybody else is experiencing similar problems.

Thanks

[grzesir]

What issues are you getting? And why would you change the period from 365? Robert Grzesik 347-635-3416

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On Sat, Apr 13, 2024 at 10:34 PM Marcos Castillo ***@***.***> wrote: I am wondering if anybody is using this library with periods parameters different than 365. I am finding multiple issues (Sortino is all over the place), but before I put together a patch, I want to know if anybody else is experiencing similar problems. Thanks — Reply to this email directly, view it on GitHub <#26>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAIYQK626DYYNKQJXTOUEJTY5HTMRAVCNFSM6AAAAABGF5UGROVHI2DSMVQWIX3LMV43ASLTON2WKOZSGI2DCOBWHE4TIOI> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>

[MarcosBizont]

I am using a strategy that is rebalanced every week. As a result, my data series is provided by week instead of daily, as stock returns usually are.

Until now, I have detected the CAGR being wrongly calculated if the period is not 365 and I am currently working in the Sortino.

[grzesir]

Makes sense. If you send a pull request to fix this issue I can merge it into the library and release the fix Robert Grzesik 347-635-3416

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On Sat, Apr 13, 2024 at 10:54 PM Marcos Castillo ***@***.***> wrote: I am using a strategy that is rebalanced every week. As a result, my data series is provided by week instead of daily, as stock returns usually are. Until now, I have detected the CAGR being wrongly calculated if the period is not 365 and I am currently working in the Sortino. — Reply to this email directly, view it on GitHub <#26 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAIYQKYSLN5Y2WTR2RSJ6VLY5HVXZAVCNFSM6AAAAABGF5UGROVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDANJTHA3TCMBUGY> . You are receiving this because you commented.Message ID: ***@***.***>

[SamAuclair]

Hi @MarcosBizont ,
I am using a period of 52 as well and am encountering some problems.

for example, in the cagr() function from the stats.py module, I believe that this line:
years = (returns.index[-1] - returns.index[0]).days / periods

should be:
years = (returns.index[-1] - returns.index[0]).days / 365

[MarcosBizont]

Hello! Thank you for your email. I am currently out of the office and will be returning on November 25. During this time, I will have limited access to email. If your matter is urgent, please ***@***.*** ***@***.***> Otherwise, I will respond to your message as soon as possible upon my return. Thank you for your understanding. Best regards

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On Fri, 22 Nov 2024 14:13:52 -0700, Samuel Auclair ***@***.***) wrote: Hi @MarcosBizont <https://github.com/MarcosBizont> , I am using a period of 52 as well and am encountering some problems. for example, in the cagr() function from the stats.py module, I believe that this line: years = (returns.index[-1] - returns.index[0]).days / periods should be: years = (returns.index[-1] - returns.index[0]).days / 365 — Reply to this email directly, view it on GitHub <#26 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AHFDN63BLDJLGTTQUPCGAID2B6NBBAVCNFSM6AAAAABSKFXGO2VHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDIOJUHAZDANBYGM>. You are receiving this because you were mentioned.[image: ]Message ID: ***@***.***>