quantlab.portfolio.config.ZScoreExpectedReturnConfig#

class quantlab.portfolio.config.ZScoreExpectedReturnConfig(ic)[source]#

Bases: FrozenConfig

Config of ZScoreExpectedReturn: mu = ic * median(sigma) * z.

Examples

>>> ZScoreExpectedReturnConfig(ic=0.05).ic
0.05
ic#

Information coefficient of the predictions; positive.