PINE LIBRARY
Metrics using Alternative Portfolio Theory
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.
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.
Pineライブラリ
In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in publications is governed by House Rules.
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。
Pineライブラリ
In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in publications is governed by House Rules.
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。