ducminhkhoi / autograd_pytorch Goto Github PK

Thanks a lot for this repo! I found it very interesting.

Could you write a working example to show people how to use it?

here are the functions

def calc_sortino_med(rets):
# Returns below target
semi_var = rets[rets < 0] ** 2
semi_var = semi_var.sum()/len(rets)
sortino = np.sqrt(semi_var)
return rets.median()/sortino

def calc_calmar_med(rets):
# Peaks and bottoms indexes in sequence
mins = np.ravel(argrelmin(rets))
maxs = np.ravel(argrelmax(rets))
extrema = np.concatenate((mins, maxs))
extrema.sort()
return -rets.median()/np.diff(rets[extrema]).min()

your input is highly appreciated