calculate_enhanced_metrics

Computes comprehensive risk and return metrics from daily data including
Sharpe, Sortino, Calmar ratios, VaR, CVaR, and tail risk measures.

internal

Design, backtest, and analyze portfolio strategies using simple,
English-like function chains. Includes technical indicators, flexible stock
selection, portfolio construction methods (equal weighting, signal weighting,
inverse volatility, hierarchical risk parity), and a compact backtesting
engine for portfolio returns, drawdowns, and summary metrics.

Alberto Pallotta

PortfolioTesteR

Test Investment Strategies with English-Like Code

calculate_enhanced_metrics function

<dl><dt>daily_values</dt>
<dd>Daily portfolio values</dd>
<dt>daily_returns</dt>
<dd>Daily return series</dd>
<dt>rf_rate</dt>
<dd>Risk-free rate</dd>
<dt>confidence_level</dt>
<dd>VaR/CVaR confidence level</dd></dl>

Arguments

Calculate Enhanced Performance Metrics — calculate_enhanced_metrics

<dl>

<dt>daily_values</dt>
<dd>Daily portfolio values</dd>


<dt>daily_returns</dt>
<dd>Daily return series</dd>


<dt>rf_rate</dt>
<dd>Risk-free rate</dd>


<dt>confidence_level</dt>
<dd>VaR/CVaR confidence level</dd>

</dl>

calculate_enhanced_metrics: Calculate Enhanced Performance Metrics

Description

Usage

Value

Arguments