feat: add compounded flag to rar() for non-compounded returns#511
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austinchennn wants to merge 2 commits intoranaroussi:mainfrom
Open
feat: add compounded flag to rar() for non-compounded returns#511austinchennn wants to merge 2 commits intoranaroussi:mainfrom
austinchennn wants to merge 2 commits intoranaroussi:mainfrom
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Fixes #510
Description
Currently, the
qs.stats.rar()function calculates the Risk-Adjusted Return by callingcagr()without exposing thecompoundedparameter. This forces a geometric CAGR calculation, which artificially inflates the RAR for intraday, capital-constrained, or non-compounded arithmetic return streams.Changes Made
compoundedboolean flag to therar()function signature.compounded=Trueto maintain strict backward compatibility for existing users.compoundedflag down to the underlyingcagr()call.This update ensures consistency across the library's statistical functions and provides accurate metrics for non-compounded trading strategies.