Add explanation for the evalution metrics of Qlib (#1090)

* Add explanation for the evalution metrics of Qlib * Update evaluate.py
microsoft · May 31, 2022 · 1a4114b · 1a4114b
1 parent e874ef2
commit 1a4114b
Showing 1 changed file with 7 additions and 0 deletions.
diff --git a/qlib/contrib/evaluate.py b/qlib/contrib/evaluate.py
@@ -26,6 +26,13 @@
 
 def risk_analysis(r, N: int = None, freq: str = "day"):
     """Risk Analysis
+    NOTE:
+    The calculation of annulaized return is different from the definition of annualized return.
+    It is implemented by design.
+    Qlib tries to cumulated returns by summation instead of production to avoid the cumulated curve being skewed exponentially.
+    All the calculation of annualized returns follows this principle in Qlib.
+
+    TODO: add a parameter to enable calculating metrics with production accumulation of return.
 
     Parameters
     ----------