Sharpe Ratio in Python: Formula, Returns and Annualisation
Calculate the Sharpe ratio in Python with a worked example, matching cash returns and annualisation checks. Prepare daily market data with SiftingIO.
Category · Quant Research & Backtesting
Quant Research & Backtesting
Strategy research, backtesting harnesses, and signal construction.
Latest in Quant Research & Backtesting
CAGR vs Average Annual Return: Formula and Examples
Compare CAGR with arithmetic average annual return using worked examples, Excel formulas and clear checks for dates, cash flows and historical price data.
VWAP vs TWAP in Python: Formulas and Bar Estimates
Compare VWAP and TWAP with worked examples and runnable Python code. Learn what OHLCV bars can estimate, how volume changes the result and why the window matters.
Historical Volatility in Python: Rolling Windows and Annualization
Calculate rolling historical volatility in Python from closing prices. Check log returns, missing data, price adjustments and 252 versus 365 annualization.
Maximum Drawdown in Python: Calculate Loss and Recovery Time
Calculate maximum drawdown in Python with pandas. Find peak, trough and recovery dates, handle unrecovered losses, and analyze historical market data.
Stop-loss and take-profit in the same candle: OHLC backtests
Detect same-candle stop-loss and take-profit ambiguity in Python, compare fill assumptions, and see when finer OHLCV data can resolve the sequence.
Align stock and crypto returns in Python: use the same closing time
Compare stock and crypto close-to-close returns on one session calendar. A tested pandas example handles DST, early closes and missing observations.
R market data API: OHLCV to xts with httr2
Replace the quantmod getSymbols loading step with an R market data API: fetch US stock OHLCV bars with httr2, paginate by cursor and build an xts object.
Missing candles in OHLCV data: how to detect gaps and backfill them safely
Detect missing candles in OHLCV bar data with a UTC grid and a trading calendar, then backfill safely without forward-filling volume or range.