23 lines
700 B
Python
23 lines
700 B
Python
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from .fincal import TimeSeries
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def sharpe_ratio(
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time_series_data: TimeSeries, risk_free_data: TimeSeries = None, risk_free_rate: float = None, **kwargs
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):
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pass
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if risk_free_data is None and risk_free_rate is None:
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raise ValueError("At least one of risk_free_data or risk_free rate is required")
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returns_ts = time_series_data.calculate_rolling_returns(**kwargs)
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if risk_free_data is not None:
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risk_free_data = returns_ts.sync(risk_free_data)
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else:
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risk_free_data = risk_free_rate
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excess_returns = returns_ts - risk_free_data
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sd = time_series_data.volatility(**kwargs)
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sharpe_ratio = excess_returns.mean() / sd
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return sharpe_ratio
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