{"repo":"Indemos/Estimator","free":true,"listed":false,"github":"https://github.com/Indemos/Estimator","clone":"git clone https://github.com/Indemos/Estimator.git","description":"Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration, Kalman, and option pricing.","language":"C#","stars":16,"topics":["finance","trading","metrics","stocks","forex","futures","backtesting","strategies","performance","analysis"],"license":"MIT","category":"trading","readme_excerpt":"Statistics in trading Used for trading strategy evaluation in the Terminal application. Status Ratios CAGR - compound annual growth rate Edge ratio or E-Ratio - ratio between MFE and MAE Kestner ratio or K-Ratio - deviation from the expected returns curve MAE - maximum adverse excursion or maximum unrealized loss MFE - maximum favorable excursion or maximum unrealized profit MAR - minimum acceptance return or a gain-to-pain ratio between returns and max loss LR Correlation - correlation between a series and its linear regression Sharpe ratio - reward to risk ratio for a selected period Sortino ratio - reward to risk ratio for a selected period measuring downside Standard Z-Score - probability of the losing or winning strikes Sterling ratio - ratio between returns and average loss Services Ratio - beta hedge ratio for baskets Score - z-score for baskets Cointegration - Johansen test Kalman - Filtering and hedge ratios for stationary basket trading Option - Black-Scholes model","default_branch":null,"files":null,"tree":[],"storefront":"/r/Indemos","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/Indemos/Estimator/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}