From 1a4114b6831f0710202ac673693e5a02178cc3a5 Mon Sep 17 00:00:00 2001 From: you-n-g Date: Tue, 31 May 2022 19:37:55 +0800 Subject: [PATCH] Add explanation for the evalution metrics of Qlib (#1090) * Add explanation for the evalution metrics of Qlib * Update evaluate.py --- qlib/contrib/evaluate.py | 7 +++++++ 1 file changed, 7 insertions(+) diff --git a/qlib/contrib/evaluate.py b/qlib/contrib/evaluate.py index 37853942a..cb703cc20 100644 --- a/qlib/contrib/evaluate.py +++ b/qlib/contrib/evaluate.py @@ -26,6 +26,13 @@ logger = get_module_logger("Evaluate") def risk_analysis(r, N: int = None, freq: str = "day"): """Risk Analysis + NOTE: + The calculation of annulaized return is different from the definition of annualized return. + It is implemented by design. + Qlib tries to cumulated returns by summation instead of production to avoid the cumulated curve being skewed exponentially. + All the calculation of annualized returns follows this principle in Qlib. + + TODO: add a parameter to enable calculating metrics with production accumulation of return. Parameters ----------