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annualized return wrong? revisit #1512

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quant2008 opened this issue May 13, 2023 · 1 comment
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annualized return wrong? revisit #1512

quant2008 opened this issue May 13, 2023 · 1 comment
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@quant2008
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quant2008 commented May 13, 2023

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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This issue is stale because it has been open for three months with no activity. Remove the stale label or comment on the issue otherwise this will be closed in 5 days

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