bbgo icon indicating copy to clipboard operation
bbgo copied to clipboard

stratgy: add irr

Open austin362667 opened this issue 3 years ago • 1 comments

one-line time-series ranked negative return alpha with alpha-weighted assets (inventory & capital) position adjustment.

expressed as => ts_rank(-returns, 120) as our alpha, predictive signal, in order to compute next targeting position base.

austin362667 avatar Sep 19 '22 06:09 austin362667

Codecov Report

Merging #959 (beb1344) into main (29376de) will not change coverage. The diff coverage is n/a.

Impacted file tree graph

@@           Coverage Diff           @@
##             main     #959   +/-   ##
=======================================
  Coverage   20.12%   20.12%           
=======================================
  Files         413      413           
  Lines       31005    31005           
=======================================
  Hits         6240     6240           
  Misses      24165    24165           
  Partials      600      600           

Continue to review full report at Codecov.

Legend - Click here to learn more Δ = absolute <relative> (impact), ø = not affected, ? = missing data Powered by Codecov. Last update 29376de...beb1344. Read the comment docs.

codecov[bot] avatar Sep 19 '22 07:09 codecov[bot]

Hi @austin362667,

Well done! 871 BBG has been sent to your polygon wallet. Please check the following tx:

https://polygonscan.com/tx/0x6d5212db8200bc8a9aff88210c37b13defcaa6d82eaa5a5c357792086e75f2fa

Thank you for your contribution!

bbgokarma-bot avatar Sep 28 '22 09:09 bbgokarma-bot