Returns are not normally distributed.
Why do your metrics assume they are?
The Omega ratio considers the full distribution.
Hereโs how in Python:
Why do your metrics assume they are?
The Omega ratio considers the full distribution.
Hereโs how in Python:
1/Get data
I use yfinance to get stock data in 1 line of code.
I use yfinance to get stock data in 1 line of code.
2/Build the Omega ratio
Itโs calculus made easy. With Python.
Itโs calculus made easy. With Python.
3/Analyze return the distribution
Asset returns are not normally distributed.
Asset returns are not normally distributed.
4/Compute the Omega ratio
Taking into consideration skew and kurtosis, AAPLโs gains outperformed the losses by a factor of 1.2.
Taking into consideration skew and kurtosis, AAPLโs gains outperformed the losses by a factor of 1.2.
I cover the details of the Omega ratio in a recent newsletter:
1. Get data
2. Compute Omega
3. Analyze distributions
You can read it here for free:
pyquantnews.com
1. Get data
2. Compute Omega
3. Analyze distributions
You can read it here for free:
pyquantnews.com
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