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All Weather portfolio calculation bug

Open Sutyke opened this issue 3 years ago • 1 comments

When I run code below I get strange Cumulative Return for portfolio 1,592.23% .

Link To Professional Portfolio Test

Quantstats Report:

-------------------------  ----------  -----------
Start Period               2007-01-12  2007-01-12
End Period                 2022-04-01  2022-04-01
Risk-Free Rate             0.0%        0.0%
Time in Market             99.0%       99.0%

Cumulative Return          1,592.23%   326.18%

Portfolio test

%matplotlib inline
import quantstats as qs

qs.extend_pandas()

tickers = { 
            'VTI' : 0.30,
            'IEI' : 0.15,
            'TLT' : 0.40,
            'GLD' : 0.075,
            'GSG' : 0.075
}
   
all_season_port = qs.utils.make_index(ticker_weights=tickers)

qs.reports.full(all_season_port, 'SPY')

Sutyke avatar Apr 01 '22 19:04 Sutyke

Were you able to find out why this happened?

apoorvsingh090 avatar Sep 22 '22 16:09 apoorvsingh090