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risk-adjusted-return

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fortitudo.tech

fortitudo-tech / fortitudo.tech

Star 152

Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.

investments portfolio-optimization quantitative-finance mathematical-finance asset-allocation portfolio-construction black-litterman mean-variance-optimization portfolio-selection asset-management portfolio-allocation investment-analysis markowitz-portfolio efficient-frontier investment-management cvar cvar-optimization conditional-value-at-risk entropy-pooling risk-adjusted-return
  • Updated May 21, 2024
  • Python

kochlisGit / TraderNet-CRv2

Star 27

TraderNet-CRv2 - Combining Deep Reinforcement Learning with Technical Analysis and Trend Monitoring on Cryptocurrency Markets

python machine-learning deep-neural-networks tensorflow trading-bot deep-reinforcement-learning trading-algorithms technical-analysis technical-indicators google-trends ddqn google-trends-api proximal-policy-optimization cryptocurrency-trading reward-shaping explainability tf-agents double-dqn-algorithm risk-adjusted-return ppo-algorithm
  • Updated Oct 2, 2023
  • Jupyter Notebook

Innovativaltd / RiskAdjustedReturn

Star 4

Download NIFTY historic data and calculate Calmar Ratio, Sortino Ratio, Sterling ratio, Sharpe Ratio, Treynor ratio, Jensens alpha, Information ratio, Appraisal ratio, Tracking error, Max drawdown, Average drawdown. Select the best stocks based on Risk Adjusted Return and other parameters like debt to equity, insider holding, profit margin etc.

sharpe-ratio tracking-error max-drawdown sterling-ratio sortino-ratio calmar-ratio risk-adjusted-return treynor-ratio jensen-s-alpha information-ratio appraisal-ratio average-drawdown debt-to-equity profit-margin
  • Updated Jan 23, 2022
  • Jupyter Notebook

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