MathFinancialAbsoluteRiskMeasures

2021年10月7日

Library "MathFinancialAbsoluteRiskMeasures"
Financial Absolute Risk Measures.

gain_stdev(sample) Standard deviation of gains in a data sample.
Parameters:

• sample: float array, data sample.

Returns: float.

loss_stdev(sample) Standard deviation of losses in a data sample.
Parameters:

• sample: float array, data sample.

Returns: float.

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.

Returns: float.

semi_stdev(sample) Standard deviation of less than average returns in a data sample.
Parameters:

• sample: float array, data sample.

Returns: float.

gain_loss_ratio(sample) ratio of average gains of average losses in a data sample.
Parameters:

• sample: float array, data sample.

Returns: float.

compound_risk_score(source, length) Compound Risk Score
Parameters:

• source: float, input data, default=close.
  
• length: int, period of observation, default=12)

Returns: float.