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@ -1,8 +1,8 @@ |
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from __future__ import annotations |
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import datetime |
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import math |
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import statistics |
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from cmath import sqrt |
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from typing import Literal |
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from pyfacts.core import date_parser |
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@ -567,7 +567,7 @@ def sortino_ratio( |
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excess_returns = annualized_average_rr - risk_free_rate |
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sd = statistics.stdev([i for i in average_rr_ts.values if i < 0]) |
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sd *= sqrt(365 / interval_days) |
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sd *= math.sqrt(365 / interval_days) |
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sortino_ratio_value = excess_returns / sd |
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return sortino_ratio_value |
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