removed kwargs and added all arguments
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@ -1,15 +1,44 @@
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import datetime
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from typing import Literal
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from fincal.core import date_parser
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from .fincal import TimeSeries
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@date_parser(3, 4)
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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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time_series_data: TimeSeries,
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risk_free_data: TimeSeries = None,
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risk_free_rate: float = None,
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from_date: str | datetime.datetime = None,
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to_date: str | datetime.datetime = None,
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frequency: Literal["D", "W", "M", "Q", "H", "Y"] = None,
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return_period_unit: Literal["years", "months", "days"] = "years",
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return_period_value: int = 1,
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as_on_match: str = "closest",
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prior_match: str = "closest",
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closest: Literal["previous", "next"] = "previous",
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date_format: str = None,
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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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common_params = {
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"from_date": from_date,
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"to_date": to_date,
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"frequency": frequency,
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"annual_compounded_returns": True,
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"return_period_unit": return_period_unit,
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"return_period_value": return_period_value,
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"as_on_match": as_on_match,
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"prior_match": prior_match,
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"closest": closest,
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"date_format": date_format,
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}
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returns_ts = time_series_data.calculate_rolling_returns(**common_params)
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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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@ -17,6 +46,10 @@ def sharpe_ratio(
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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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sd = time_series_data.volatility(
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**common_params,
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annualize_volatility=True,
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)
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sharpe_ratio = excess_returns.mean() / sd
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return sharpe_ratio
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