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Handled returns and SD both getting annualised in SD calc

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This commit is contained in:
Gourav Kumar 2022-05-01 13:03:16 +05:30
parent 41562f7e70
commit 19523519ee
1 changed files with 1 additions and 2 deletions
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3
fincal/statistics.py
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@ -30,7 +30,6 @@ def sharpe_ratio(
"from_date": from_date,
"to_date": to_date,
"frequency": frequency,
"annual_compounded_returns": True,
"return_period_unit": return_period_unit,
"return_period_value": return_period_value,
"as_on_match": as_on_match,
@ -38,7 +37,7 @@ def sharpe_ratio(
"closest": closest,
"date_format": date_format,
}
returns_ts = time_series_data.calculate_rolling_returns(**common_params)
returns_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=True)
if risk_free_data is not None:
risk_free_data = returns_ts.sync(risk_free_data)