luminaryfi

Risk Metrics: Crypto Version

Risk Metrics for Crypto.
Market can be set to BTCUSD , BTCEUR , BTCCHF , BTCGBP , BTC1! , BTC2!, SPX , and DTB3
Beta
Correlation
Standard Deviation
Variance
R-squared
Release Notes: //update
Release Notes: //update removed variable
Release Notes: //added log-returns + geometric returns
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Comments

Hello there,
Do you think you could make similar statistics for strategies ?
I'm currently working on trying to compute the sortino on my strategies
Reply
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