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bug fix in sortino

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This commit is contained in:
Gourav Kumar 2022-06-12 21:35:37 +05:30
parent e450395ad0
commit 33c56d8f6c
1 changed files with 2 additions and 2 deletions
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4
pyfacts/statistics.py
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@ -1,8 +1,8 @@
from __future__ import annotations from __future__ import annotations
import datetime import datetime
import math
import statistics import statistics
from cmath import sqrt
from typing import Literal from typing import Literal
from pyfacts.core import date_parser from pyfacts.core import date_parser
@ -567,7 +567,7 @@ def sortino_ratio(
excess_returns = annualized_average_rr - risk_free_rate excess_returns = annualized_average_rr - risk_free_rate
sd = statistics.stdev([i for i in average_rr_ts.values if i < 0]) 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 sortino_ratio_value = excess_returns / sd
return sortino_ratio_value return sortino_ratio_value