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Dear Community,
Due to recent interest-rate hikes, we have improved the accuracy of some KPIs to factor in an accurate, dynamic, risk-free rate of return. This change improves the accuracy of the Sharpe Ratio, Alpha, or Traynor Ratio, which previously were over-optimistic. We are excited to share that this is no longer the case.
With this update, these statistics are computed using the US Fed interest rate data average over the specific period. This way, we can use the average for the whole backtest period or discrete rolling windows. For those interested, please see the relevant pull request that goes into more detail (https://github.com/QuantConnect/Lean/pull/7489).
Let us know in the comments if you have any issues or concerns about this change,
Best,
QuantConnect Team
Jens.
This is a great change! Thank you, guys!Â
Ricardo Andres Marino Rojas
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