diff --git a/fincal/__init__.py b/fincal/__init__.py index 8ca5d9d..eb1fa13 100644 --- a/fincal/__init__.py +++ b/fincal/__init__.py @@ -1,3 +1,4 @@ from .core import * from .fincal import * +from .statistics import * from .utils import * diff --git a/fincal/statistics.py b/fincal/statistics.py new file mode 100644 index 0000000..16b642c --- /dev/null +++ b/fincal/statistics.py @@ -0,0 +1,22 @@ +from .fincal import TimeSeries + + +def sharpe_ratio( + time_series_data: TimeSeries, risk_free_data: TimeSeries = None, risk_free_rate: float = None, **kwargs +): + pass + + if risk_free_data is None and risk_free_rate is None: + raise ValueError("At least one of risk_free_data or risk_free rate is required") + + returns_ts = time_series_data.calculate_rolling_returns(**kwargs) + + if risk_free_data is not None: + risk_free_data = returns_ts.sync(risk_free_data) + else: + risk_free_data = risk_free_rate + + excess_returns = returns_ts - risk_free_data + sd = time_series_data.volatility(**kwargs) + sharpe_ratio = excess_returns.mean() / sd + return sharpe_ratio diff --git a/test.py b/test.py index 674c577..18853d3 100644 --- a/test.py +++ b/test.py @@ -1,29 +1,34 @@ # from fincal.core import FincalOptions -from fincal.fincal import TimeSeries +import fincal as fc data = [ - ("2022-01-01", 10), - ("2022-01-02", 12), - ("2022-01-03", 14), - ("2022-01-04", 16), - ("2022-01-06", 18), - ("2022-01-07", 20), - ("2022-01-09", 22), - ("2022-01-10", 24), - ("2022-01-11", 26), - ("2022-01-13", 28), - ("2022-01-14", 30), - ("2022-01-15", 32), - ("2022-01-16", 34), + ("2022-01-01", 150), + ("2022-01-02", 152), + ("2022-01-03", 151), + ("2022-01-04", 154), + ("2022-01-05", 150), + ("2022-01-06", 157), + ("2022-01-07", 155), + ("2022-01-08", 158), + ("2022-01-09", 162), + ("2022-01-10", 160), + ("2022-01-11", 156), + ("2022-01-12", 162), + ("2023-01-01", 164), + ("2023-01-02", 161), + ("2023-01-03", 167), + ("2023-01-04", 168), ] -ts = TimeSeries(data, frequency="D") +ts = fc.TimeSeries(data, frequency="D", date_format="%Y-%d-%m") print(ts) -data = [("2022-01-01", 220), ("2022-01-08", 230), ("2022-01-15", 240)] -ts2 = TimeSeries(data, frequency="W") -print(ts2) - -synced_ts = ts.sync(ts2) -print("---------\n") -for i in synced_ts: - print(i) +sharpe = fc.sharpe_ratio( + ts, + risk_free_rate=(1 + 0.15) ** (1 / 12) - 1, + from_date="2022-02-01", + to_date="2023-04-01", + frequency="M", + return_period_unit="months", + return_period_value=1, +) +print(f"{sharpe=}")