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Dear there. I show the following examples to show some differences identified in the results of the functions that I indicate in the title. With **perf_stats:** max_drowdown, -002874 With **perf_display:**...

akitxu

.calc_stats() return my three errors

1

Dear all. I am testing this package, which I think is very good to facilitate script construction with less code. In the statement that I show below, I find the...

akitxu

Pandas v1+ introduced a new class (pd.NA) for missing data. ffn library v0.3.6 utilizes numpy isnan function to identify missing data. The problem is that np.isnan(pd.NA) returns pd.NA, which is...

aputkov

I am learning classes in Python using injection. I am trying to develop this class using FFN. This is my exercise. `class PreparadorFFN: def __init__(self, log_retornos_diarios): self.cotiz_val = None self.perf...

akitxu

ffn.core.calc_erc_weights(returns, initial_weights=None, risk_weights=None, covar_method='ledoit-wolf', risk_parity_method='ccd', maximum_iterations=100, tolerance=1e-08) great financial features. Kudos to the great work. one question: is there an API similar to the above ere_weights that can do 1...

Kerberos007

Returns input

1

I' like to pass to ffn a strategy returns in order to calculate performance metrics. How is possible? Many thanks t

tommifi

Hi, Great job you have done here. I have realized that the methods `to_price_index` and `to_returns` have a round-trip problem. It is due to the fact that `to_price_index` is not...

emvalbuena

How to set risk-free rate ( rf ) when calling df_prices.calc_stats() ?

2

The output of df_prices.calc_stats() reports a rf = 0. I'd like to have df_prices.calc_stats() include a rf in the calculations. I don't see how to set rf. I've also tried:...

ahotrod

ffn.core.calc_erc_weights: Define lookback period for risk weights

2

is maximum_iterations the look back period for defining risk weights? default of 100 equal to last 100 days? ffn.core.calc_erc_weights(returns, initial_weights=None, risk_weights=None, covar_method='ledoit-wolf', risk_parity_method='ccd', maximum_iterations=100, tolerance=1e-08)

liquidrates

I moved to pyCharm and using ffn now to make equity curves etc... Receive this error again that i used to in jupyter but that went away. What do i...

ShreyasChari