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sortino filters out nan in rolling returns

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Gourav Kumar 2022-09-11 15:12:37 +05:30
parent 0fec9abac0
commit 18b60bd608
1 changed files with 4 additions and 2 deletions
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6
pyfacts/statistics.py
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@ -574,8 +574,10 @@ def sortino_ratio(
"closest": closest, "closest": closest,
"date_format": date_format, "date_format": date_format,
} }
average_rr_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=False) average_rr_ts = time_series_data.calculate_rolling_returns(
average_rr = statistics.mean(average_rr_ts.values) **common_params, annual_compounded_returns=False, if_not_found="nan"
)
average_rr = statistics.mean(filter(lambda x: str(x) != "nan", average_rr_ts.values))
annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1 annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1
excess_returns = annualized_average_rr - risk_free_rate excess_returns = annualized_average_rr - risk_free_rate