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View All on GitHub Add a CLI entrypoint for one-off calculations about 1 month ago
enhancement good first issue
Statistical robustness testing for trading strategy backtests: Deflated Sharpe Ratio, walk-forward validation, Monte Carlo drawdown, purged k-fold CV.
Python
Add Sortino ratio (downside-deviation-adjusted return metric) about 1 month ago
enhancement good first issue
Statistical robustness testing for trading strategy backtests: Deflated Sharpe Ratio, walk-forward validation, Monte Carlo drawdown, purged k-fold CV.
Python