Risk statistics for a price or return series

Risk statistics for a price or return series: Sharpe, Sortino, Calmar, max drawdown, historical and parametric value at risk, CVaR, volatility and win rate.

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Endpoint

GET https://saylorinnovations.com/api/finance/risk-metrics

Our checks, last 30 days

Example input (from the provider)

{
  "method": "GET",
  "queryParams": {
    "periods_per_year": "365",
    "prices": "100,102,101,105,103,108,104,110,107,112"
  },
  "type": "http"
}

Promised output schema (from the provider)

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "properties": {
    "input": {
      "additionalProperties": false,
      "properties": {
        "method": {
          "enum": [
            "GET"
          ],
          "type": "string"
        },
        "queryParams": {
          "properties": {
            "periods_per_year": {
              "description": "optional, 365 for daily crypto, 252 for stocks, 12 monthly",
              "type": "string"
            },
            "prices": {
              "description": "comma-separated prices in time order (2-2000), or",
              "type": "string"
            }
          },
          "required": [
            "prices"
          ],
          "type": "object"
        },
        "type": {
          "const": "http",
          "type": "string"
        }
      },
      "required": [
        "type",
        "method"
      ],
      "type": "object"
    },
    "output": {
      "properties": {
        "example": {
          "properties": {
            "annualized_return_percent": {
              "description": "Compound annual growth rate implied by the series, in percent",
              "type": "number"
            },
            "annualized_volatility_percent": {
              "description": "Standard deviation of returns scaled to a year, in percent",
              "type": "number"
            },
            "best_period_percent": {
              "description": "Best single-period return, in percent",
              "type": "number"
            },
            "calmar_ratio": {
              "description": "Annualised return divided by the maximum drawdown, null if there was no drawdown",
              "type": [
                "number",
                "null"
              ]
            },
            "cvar_95_percent": {
              "description": "Average loss in the worst 5% of periods (expected shortfall)",
              "type": "number"
            },
            "max_drawdown_peak_index": {
              "description": "Series position of the peak before the worst drawdown (0 is the first price)",
              "type": "number"
            },
            "max_drawdown_percent": {
              "description": "Largest peak-to-trough fall of the compounded equity, in percent",
              "type": "number"
            },
            "max_drawdown_trough_index": {
              "description": "Series position of the trough of the worst drawdown",
              "type": "number"
            },
            "note": {
              "description": "Plain-language caveat about how to read and use the result",
              "type": "string"
            },
            "periods": {
              "description": "Number of period returns analysed",
              "type": "number"
            },
            "periods_per_year": {
              "description": "Periods per year used for annualising",
              "type": "number"
            },
            "sharpe_ratio": {
              "description": "Annualised excess return per unit of volatility, null if volatility is zero",
              "type": [
                "number",
                "null"
              ]
            },
            "sortino_ratio": {
              "description": "Annualised excess return per unit of downside deviation, null if there is no downside",
              "type": [
                "number",
                "null"
              ]
            },
            "source": {
              "description": "Where the data or formula comes from",
              "type": "string"
            },
            "total_return_percent": {
              "description": "Compounded return over the whole series, in percent",
              "type": "number"
            },
            "var_95_historical_percent": {
              "description": "One-period loss not exceeded 95% of the time, from the empirical distribution",
              "type": "number"
            },
            "var_95_parametric_percent": {
              "description": "95% value at risk assuming normally distributed returns",
              "type": "number"
            },
            "var_99_historical_percent": {
              "description": "One-period loss not exceeded 99% of the time, from the empirical distribution",
              "type": "number"
            },
            "win_rate_percent": {
              "description": "Share of periods with a positive return",
              "type": "number"
            },
            "worst_period_percent": {
              "description": "Worst single-period return, in percent",
              "type": "number"
            }
          },
          "required": [
            "sharpe_ratio",
            "max_drawdown_percent"
          ],
          "type": "object"
        },
        "type": {
          "const": "json",
          "type": "string"
        }
      },
      "required": [
        "type"
      ],
      "type": "object"
    }
  },
  "required": [
    "input"
  ],
  "type": "object"
}

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