Tags: femtotrader/OnlinePortfolioAnalytics.jl
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[Diff since v0.2.1](v0.2.1...v0.2.2) **Merged pull requests:** - Fix Prod implementation - implement LogProd (#14) (@femtotrader) - feat: add RMS statistic and refactor UlcerIndex to use it (#15) (@femtotrader)
[Diff since v0.2.0](v0.2.0...v0.2.1) - Add 16 streaming portfolio metrics and Rolling window framework **Merged pull requests:** - Add 16 streaming portfolio metrics and Rolling window framework (#13) (@femtotrader)
v0.2.0 - New Portfolio Metrics Release **Breaking Changes:** - `AssetMarketReturn` removed - use `AssetBenchmarkReturn` for all paired return observations **New Features:** - VaR (Value at Risk) - Streaming quantile-based risk estimation - ExpectedShortfall (CVaR) - Average loss beyond VaR threshold - Treynor Ratio, InformationRatio, JensenAlpha, TrackingError - DownsideDeviation, UpsideDeviation, Omega Ratio - AnnualizedReturn, Calmar Ratio, Beta, ExpectedReturn - MaxDrawDown / MaxArithmeticDrawDown - TSFrames integration for new single-column metrics - 530 tests passing
[Diff since v0.1.0](v0.1.0...v0.1.1) Simplify contructors **Merged pull requests:** - Bump julia-actions/cache from 1 to 2 (#4) (@dependabot[bot]) - Bump actions/checkout from 4 to 5 (#6) (@dependabot[bot]) - feature: simplify constructors (#7) (@femtotrader) **Closed issues:** - Register (#3)
## OnlinePortfolioAnalytics v0.1.0 **Merged pull requests:** - Bump julia-actions/setup-julia from 1 to 2 (#1) (@dependabot[bot]) - Bump julia-actions/setup-julia from 1 to 2 (#2) (@dependabot[bot])