Hi everyone! I cannot stress enough how in love I am with your Return/Risk metric.
I also really wish it was available through the api, preferably in deconstructed form, so that we could reconstruct Return/Risk value for any custom period.
My best guess would be that Return/Risk is Stored as:
Timestamp Ti, probably at 24 hour intervals
Ni: Total weight until Ti, maybe equaling number of trades
Ri: Nonstandardized total return value until Ti, from normal distribution with mean 0 and variance of Ni
So when we wish to reconstruct R/R value for time period Ti -> Tj
R/R value for period [Ti -> Tj] = (Rj - Ri) / sqrt(Nj - Ni)
R/R since inception = R(now) / sqrt(N(now))
So maybe api could have this Ti, Ni, Ri values for darwins entire history, maybe at 24 hour intervals, like current quotes? That would be lovely. Or maybe if I am wrong (quite likely) some other way to request R/R value for custom periods through API?
I think analyzing behavior of R/R could open very interesting pathways to analyzing behavior of Darwins, specifically their reaction to certain market conditions/cycles - perhaps even giving early signals to enter/leave darwins when tide has just begun turning.