Library "MathFinancialAbsoluteRiskMeasures"
Financial Absolute Risk Measures.
gain_stdev(sample) Standard deviation of gains in a data sample.
Parameters:
loss_stdev(sample) Standard deviation of losses in a data sample.
Parameters:
downside_stdev(sample, minimal_acceptable_return) Downside standard deviation in a data sample.
Parameters:
semi_stdev(sample) Standard deviation of less than average returns in a data sample.
Parameters:
gain_loss_ratio(sample) ratio of average gains of average losses in a data sample.
Parameters:
compound_risk_score(source, length) Compound Risk Score
Parameters:
Financial Absolute Risk Measures.
gain_stdev(sample) Standard deviation of gains in a data sample.
Parameters:
- sample: float array, data sample.
loss_stdev(sample) Standard deviation of losses in a data sample.
Parameters:
- sample: float array, data sample.
downside_stdev(sample, minimal_acceptable_return) Downside standard deviation in a data sample.
Parameters:
- sample: float array, data sample.
- minimal_acceptable_return: float, minimum gain value.
semi_stdev(sample) Standard deviation of less than average returns in a data sample.
Parameters:
- sample: float array, data sample.
gain_loss_ratio(sample) ratio of average gains of average losses in a data sample.
Parameters:
- sample: float array, data sample.
compound_risk_score(source, length) Compound Risk Score
Parameters:
- source: float, input data, default=close.
- length: int, period of observation, default=12)