Melvin Alvarez
20 lines
542 B
Markdown
20 lines
542 B
Markdown
# API: Risk Metrics
|
|
|
|
```python
|
|
from optimizr import (
|
|
hurst_exponent_py,
|
|
compute_risk_metrics_py,
|
|
estimate_half_life_py,
|
|
bootstrap_returns_py,
|
|
)
|
|
|
|
h = hurst_exponent_py(returns)
|
|
hl = estimate_half_life_py(returns)
|
|
metrics = compute_risk_metrics_py(returns.tolist())
|
|
boot = bootstrap_returns_py(returns, n_samples=1000)
|
|
```
|
|
|
|
- `returns`: 1D NumPy array of returns
|
|
- `compute_risk_metrics_py` returns a dict with volatility, Sharpe, and drawdown estimates
|
|
- `bootstrap_returns_py` resamples the series for uncertainty estimation
|