Continuous Probabilistic Sharpe Ratio analyzer
Ryan Bell last edited by
On QuantConnect, trade performance is largely evaluated by a probabilistic Sharpe ratio which updates on a per-trade basis. In backtrader, there's a Sharpe Ratio https://www.backtrader.com/docu/analyzers-reference/#sharperatio which can be retrieved after a run.
Has anyone explored getting a continuous probabilistic metric similar to the one from QC?