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Benchmark‘s Omega value always as same as Strategy

Open none2003 opened this issue 1 month ago • 1 comments

You may consider using methods such as "reports.full," "reports.html," or "reports.metrics" to calculate metrics for both the benchmark and the strategy (as series) at the same time. Kindly note that the omega value of the benchmark will always align with that of the strategy.

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This problem doesn't exist when passing benchmark series with multi-columns df returns.

none2003 avatar Nov 29 '25 11:11 none2003

I have created a PR for it: https://github.com/ranaroussi/quantstats/pull/488. I would greatly appreciate it if you could kindly review and consider merging it. Thank you so much for your time and support!

none2003 avatar Nov 29 '25 11:11 none2003