calculate_risk_metrics
Calculate stock risk metrics including beta, Sharpe ratio, max drawdown, volatility, and correlation against a benchmark.
Instructions
Calculate risk metrics: beta, Sharpe, max drawdown, volatility, correlation.
Args: code: Stock code. benchmark_code: Benchmark index, default 'sh.000300' (CSI 300). lookback_days: Calendar days to look back. 365 ≈ 1 year, 730 ≈ 2 years. Must yield >= 30 trading-day bars (~45+ calendar days, more if the span crosses a long holiday) or the call is rejected. ~245 calendar days ≈ 1 trading year (CN A-share). risk_free_rate: Annualized risk-free rate for Sharpe ratio. Default ~3% (approximate CN 10Y bond yield); override for non-CN markets.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| code | Yes | ||
| benchmark_code | No | sh.000300 | |
| lookback_days | No | ||
| risk_free_rate | No |