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bug fix in sortino

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Gourav Kumar 2 years ago
parent
commit
33c56d8f6c
  1. 4
      pyfacts/statistics.py

4
pyfacts/statistics.py

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

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