Roadmap: new statistics to be included

Tasks for each one

• Find definition and formula
• Document
• Test

Functions to be added

stats.py

f(X) \rightarrow y, X = \{x_0, ..., x_t\}

This kind of functions receive a times series as input and returns a number as output; normally, they can have the equivalent rolling version.

• percentile_rank
• max_rolling_drawdown
• runup
• value_at_risk
• sortino_ratio
• information_ratio
• drawdown_ratio
• annualize (see how to implement this when it's required)
• percentile
• sign_count
• beta
• drawdown
• max_drawdown
• sharpe_ratio
• volatility
• total_return

rolling.py

f(X) \rightarrow Y, \text{with} \ X = \{x_0, ..., x_t\}, Y = \{y_0, ..., y_t\}

These functions receive a time series as input and returns another time series as out using a window as parameter.

• drawdown
• max_drawdown
• percentile
• percentile_rank
• runup
• volatility
• total_return