quantstats · Issues· 33 open

conditional_value_at_risk mixes a parametric VaR threshold with an empirical tail mean, and silently returns VaR when the tail is empty

_prepare_returns silently converts missing observations to 0.0 returns in every statistic

_prepare_returns cache key collision changes Series/DataFrame type and column metadata

GIFT NIFTY

kelly_criterion is off by a factor of the average loss, and rf is routed by inspecting the call stack

Wrong Kelly Criteria

qs.reports.html() function assumes the risk free rate is constant

[bug] EOY returns vs benchmark on time range longer than 10y

Monthly Return Heatmap Display Issue in VS Code

Inconsistencies Among 3Y (ann.), 5Y (ann.), and 10Y (ann.) Return Calculations

qs.stats.information_ratio() uses arithmetic mean instead of geometric

Add compounded flag to qs.stats.rar() for non-compounded return streams

Add compounded flag to qs.stats.calmar() for intraday / non-compounded return streams

[BUG] Trade-analysis metrics in reports are wrong (computed from returns)