Skip to content

fix(features): make risk annualization configurable - #62

Merged
stefan-jansen merged 1 commit into
mainfrom
codex/fix-60-risk-trading-periods
Sep 24, 2026
Merged

stefan-jansen merged 1 commit into
mainfrom
codex/fix-60-risk-trading-periods

Conversation

@stefan-jansen

@stefan-jansen stefan-jansen commented Sep 24, 2026 •

Copy link
Copy Markdown
Contributor

Summary

  • add a validated trading_periods parameter with the existing 252 default
  • apply the frequency consistently to the period risk-free rate, Sharpe, Sortino, Calmar, and Omega threshold
  • document the convention and test weekly, daily, close, inferred-price, compatibility, and invalid-input cases

Verification

Closes #60.

@stefan-jansen
stefan-jansen marked this pull request as ready for review September 24, 2026 10:03
Copilot AI lite review requested due to automatic review settings September 24, 2026 10:03

Copilot AI left a comment

Copy link
Copy Markdown

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Copilot was unable to review this pull request because the user who requested the review has reached their quota limit.

Add a validated trading_periods parameter and apply it consistently to period risk-free conversion, Sharpe, Sortino, Calmar, and Omega thresholds. Preserve 252 as the default.\n\nCloses #60.
@stefan-jansen
stefan-jansen force-pushed the codex/fix-60-risk-trading-periods branch from fd1e394 to 4ed11b5 Compare September 24, 2026 10:06
@stefan-jansen
stefan-jansen merged commit 2de8512 into main Sep 24, 2026
31 checks passed
@stefan-jansen
stefan-jansen deleted the codex/fix-60-risk-trading-periods branch September 24, 2026 10:49
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment

Labels

None yet

Projects

None yet

Development

Successfully merging this pull request may close these issues.

risk_adjusted_returns annualizes with a fixed 252 periods and cannot be used on other bar frequencies

2 participants