From 19523519ee60cd1d5d35d36a60dafa037d1f817b Mon Sep 17 00:00:00 2001 From: Gourav Kumar Date: Sun, 1 May 2022 13:03:16 +0530 Subject: [PATCH] Handled returns and SD both getting annualised in SD calc --- fincal/statistics.py | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/fincal/statistics.py b/fincal/statistics.py index f4bc59f..08c0abb 100644 --- a/fincal/statistics.py +++ b/fincal/statistics.py @@ -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)