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@ -574,8 +574,10 @@ def sortino_ratio( |
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"closest": closest, |
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"date_format": date_format, |
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} |
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average_rr_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=False) |
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average_rr = statistics.mean(average_rr_ts.values) |
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average_rr_ts = time_series_data.calculate_rolling_returns( |
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**common_params, annual_compounded_returns=False, if_not_found="nan" |
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) |
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average_rr = statistics.mean(filter(lambda x: str(x) != "nan", average_rr_ts.values)) |
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annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1 |
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excess_returns = annualized_average_rr - risk_free_rate |
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