Downloads historic data for all stocks listed on NIFTY and calculate Calmar Ratio, Sortino Ratio, Sterling ratio, Sharpe Ratio, Treynor ratio, Jensens alpha, Information ratio, Appraisal ratio, Tracking error, Max drawdown, Average drawdown. Select the best stocks based on Risk Adjusted Return and other parameters like debt to equity, insider holding, profit margin etc.
To clone the repository: cd git clone https://github.com/Innovativaltd/RiskAdjustedReturn
Overview of code: The data directory only has a sample of ~1000 files (uploading of large number of files is restricted by github) But the Jupyter Notebook can download all historic data (~1.2 GB) for all stocks on NIFTY from yahoo finance. It can be easily modified to suit any stock exchange by changing the list of stocks in 'tickers' variable
Opening the directory using Microsoft VScode (with proper extensions installed) will prompt to open the code in a docker container. All python dependencies are listed in requirements.txt