Update vwr - added 0 <= sdev_p <= sdev_max check#499
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syswalrus wants to merge 22 commits intomementum:masterfrom
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Update vwr - added 0 <= sdev_p <= sdev_max check#499syswalrus wants to merge 22 commits intomementum:masterfrom
syswalrus wants to merge 22 commits intomementum:masterfrom
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In order for the formula to make sense, we must enforce that sdev_p is between 0 and sdev_max. Otherwise, we can have negative rnorm100 giving positive VWR when their sdev is higher than sdev_max. The author of the VWR had that condition defined in the summary: https://www.crystalbull.com/sharpe-ratio-better-with-log-returns/
bringing sortinos from baobach/backtrader_reloaded
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In order for the formula to make sense, we must enforce that sdev_p is between 0 and sdev_max. Otherwise, we can have negative rnorm100 giving positive VWR when their sdev is higher than sdev_max.
The author of the VWR had that condition defined in the summary: https://www.crystalbull.com/sharpe-ratio-better-with-log-returns/