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Sharpe ratio and return

Hello,

Is there any method to obtain the return or the sharpe ratio of the portfolio, during the data handling (OnData method) ? Or should i build one myself ?

Thx

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i once was also interested in this but the feature is still on the todo list.

you could of course write them to push it

 

https://github.com/QuantConnect/Lean/issues/1105
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I guess i'll have to create my self ^^ i intend to attach to it a reward function so i can apply deep reinforcement learning

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Thanks to my laziness i found a lot of risk adjusted return formulas here (in python)

http://www.turingfinance.com/computational-investing-with-python-week-one/
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