Risk Metrics: Crypto Version

Description

⋅ Sep 4, 2020 10:44 PM

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

⋅ Sep 5, 2020 4:22 AM

//update

Release Notes

⋅ Sep 5, 2020 4:24 AM

//update removed variable

Release Notes

⋅ Sep 6, 2020 8:56 PM

//added log-returns + geometric returns

Comments

aStoicsTradingTools

⋅ Nov 13, 2020 8:00 PM

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

Maximalist1997

⋅ Jan 15, 2022 5:45 PM

@aStoicsTradingTools, Did you manage do it?

aStoicsTradingTools

⋅ Jan 16, 2022 10:51 AM

@Maximalist1997, No, but tradingview added the sortino ratio