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Add explanation for the evalution metrics of Qlib (#1090)

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* Add explanation for the evalution metrics of Qlib

* Update evaluate.py
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you-n-g
2022-05-31 19:37:55 +08:00
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commit 1a4114b683
1 changed files with 7 additions and 0 deletions
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qlib/contrib/evaluate.py
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@@ -26,6 +26,13 @@ logger = get_module_logger("Evaluate")
def risk_analysis(r, N: int = None, freq: str = "day"): def risk_analysis(r, N: int = None, freq: str = "day"):
"""Risk Analysis """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 Parameters
---------- ----------