Hello,
With the original library, using qs.reports.metrics(returns, mode="full", rf=risk_free_rate, display=False) make the availability of all possible metrics. With lumi version some indicators are not calculated, even withmode="full". For example Risk of ruin or Kelly criterion are not calculated.
Yes, we can get them by doing something like this :
qs.extend_pandas()
kelly = returns.kelly_criterion()
ror = returns.risk_of_ruin()
etc....
Is that a wanted behaviour or am I missing something that block FULL metrics to be calculated with reports.metrics ?
Having all metrics calculated (like original library) was very useful for later analysis :)
Best,
Bastien
Hello,
With the original library, using
qs.reports.metrics(returns, mode="full", rf=risk_free_rate, display=False)make the availability of all possible metrics. With lumi version some indicators are not calculated, even withmode="full". For example Risk of ruin or Kelly criterion are not calculated.Yes, we can get them by doing something like this :
Is that a wanted behaviour or am I missing something that block FULL metrics to be calculated with reports.metrics ?
Having all metrics calculated (like original library) was very useful for later analysis :)
Best,
Bastien