QuantConnect / QuantConnect/Lean
Downside Deviation in Backtest Statistics
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Nobody has claimed this yet.
depth
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Calculate the downside deviation on the conclusion of a backtest -- and ideally as an optimization parameter.
Add a rolling component to calculate the downside deviation on a period basis as well.
Actual Behavior
No statistic available.
Potential Solution
Add as a calculated statistic
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
No files, tests, or entry points are named. Start by locating the existing backtest conclusion statistics and any rolling-statistics or optimization-parameter entry points. Done means downside deviation is available for the backtest conclusion, with the requested rolling-period calculation and, if supported by the design, an optimization parameter.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 35/100