How to enter the right Risk Free value in qs.reports.html?

[manuelwithbmw]

Hi

I have just installed quantstats_lumi and I am comparing the results with quantstats.

(I can see that Lumi overestimates (circa 10%) the Sharpe Ratio of the other library quantstats - anyway I seem to understand the Lumi version is better maintained? Anyway, this difference does not bother me too much)

Risk Free
Can you please let me know what is the right way of entering the Risk Free value in the report.html?
If we have a US 10 yrs at 4.61% as of now, in the html.report function I am using the Avg RF Daily Returns which according to my calculations (for my time window of observation) would be 0.000066, so I am entering 0.000066 as below:

qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "/Users/.../Strategy Tearsheets/strategy_report.html")

Is this the right way to use RF rate here?

Thank you very much
M

[grzesir]

If your rf rate is 4.61% then you should enter 0.0461 i believe Robert Grzesik 347-635-3416

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On Sat, Apr 20, 2024 at 3:31 PM Manuel ***@***.***> wrote: Hi I have just installed *quantstats_lumi* and I am comparing the results with *quantstats*. (I can see that Lumi overestimates (circa 10%) the Sharpe Ratio of the other library *quantstats* - anyway I seem to understand the Lumi version is better maintained? Anyway, this difference does not bother me too much) *Risk Free* Can you please let me know what is the right way of entering the *Risk Free* value in the report.html? If we have a US 10 yrs at 4.61% as of now, in the html.report function I am using the *Avg RF Daily Returns* which according to my calculations (for my time window of observation) would be 0.000066, so I am entering 0.000066 as below: qs.reports.html(returns_df.sharpe, "SPY", rf=0.000066, output = "/Users/.../Strategy Tearsheets/strategy_report.html") Is this the right way to use RF rate here? Thank you very much M — Reply to this email directly, view it on GitHub <#27>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAIYQKZQFPYRELRJXUHH5HDY6K67JAVCNFSM6AAAAABGQXCYSSVHI2DSMVQWIX3LMV43ASLTON2WKOZSGI2TINRYG43TSMI> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>