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I have read #1433 and #1067
I tried the summation and exponential mode to caculate annualized return using #1433 method. and it seems both are wrong.
I ran workflowexample.ipynb, and I checked benchmark sh000300's annualized return from 2017-01-01 to 2022-10-30 given by qlib.
summation mode gives annualized_return 0.02904496924711926
exponential mode gives annualized_return 0.06986045104183725
while correct annualized_return given by QuantStats is 0.0117.
I wonder why?
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I have read #1433 and #1067
I tried the summation and exponential mode to caculate annualized return using #1433 method. and it seems both are wrong.
I ran workflowexample.ipynb, and I checked benchmark sh000300's annualized return from 2017-01-01 to 2022-10-30 given by qlib.
summation mode gives annualized_return 0.02904496924711926
exponential mode gives annualized_return 0.06986045104183725
while correct annualized_return given by QuantStats is 0.0117.
I wonder why?
The text was updated successfully, but these errors were encountered: