Metrics using Alternative Portfolio Theory

9 thg 5, 2023

Library "APT_Metrics"
Portfolio metrics using alternative portfolio theory

metrics(init, cur, start, end, alpha)
  Calculates APT metrics
  Parameters:
    init (float): Starting Equity (strategy.initial)
    cur (float)
    start (int): Start date (UNIX)
    end (int): End Date (UNIX)
    alpha (float): Confidence interval for DaR/CDaR. Defval = 0.05
  Returns: Plots table with APT metrics

The metrics are shown in the bottom pane being applied to a buy-and-hold strategy.

PLEASE NOTE: This is the first draft of the library. Some calculations may be incorrect. If you spot any mistakes then please let me know and I will correct them as soon as possible. I am also open to suggestions on how to improve this.

At the moment this only works on the daily timeframe until I can find a way to universally calculate annualized volatility.