added sharpe ratio

fincal/__init__.py

@@ -1,3 +1,4 @@
 from .core import *
 from .fincal import *
+from .statistics import *
 from .utils import *

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

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=}")