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Negative PnL Strategy's Sharpe, Sortino and Calmar ratios are zero #472
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Is there any way for Backtest.run() to return values (instead of 0) for strategies with negative PnL? From what I can see, they all return 0.
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You could remove np.clip() wrapping in these places:
backtesting.py/backtesting/_stats.py
Line 120 in 7671f04
backtesting.py/backtesting/_stats.py
Line 122 in 7671f04
backtesting.py/backtesting/_stats.py
Line 124 in 7671f04
Do nega...
Replies: 1 comment 5 replies
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You could remove np.clip() wrapping in these places:
backtesting.py/backtesting/_stats.py
Line 120 in 7671f04
backtesting.py/backtesting/_stats.py
Line 122 in 7671f04
backtesting.py/backtesting/_stats.py
Line 124 in 7671f04
Do negative Sharpe, Sortino, Calmar ratios make any sense?
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It would be good to look at cross-asset robustness via SR distribution which Neg->0 SR clipping skews. Would be great to receive the ratios as is and do clipping if needed.
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@kernc if you think this would be a good PR, I would be more than happy to do it
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I remember my thinking: with risk-free rate default assumed 0%, if your strategy's Sharpe is negative, it's better to just divest and keep the money. 😄
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Opened: #473
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