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Gourav Kumar 2022-06-04 15:35:16 +05:30
parent 1682fe12cc
commit 7504c840eb
1 changed files with 25 additions and 10 deletions
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fincal/statistics.py
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@ -25,25 +25,40 @@ def sharpe_ratio(
): ):
"""Calculate the Sharpe ratio of any time series """Calculate the Sharpe ratio of any time series
Sharpe ratio is a measure of returns per unit of risk,
where risk is measured by the standard deviation of the returns.
Parameters Parameters
---------- ----------
time_series_data: time_series_data:
The time series for which Sharpe ratio needs to be calculated
risk_free_data: risk_free_data:
Risk free rates as time series data.
This should be the time series of risk free returns,
and not the underlying asset value.
risk_free_rate: risk_free_rate:
Risk free rate to be used.
Either risk_free_data or risk_free_rate needs to be provided.
If both are provided, the time series data will be used.
from_date: from_date:
Start date from which returns should be calculated.
Defaults to the first date of the series.
to_date: to_date:
End date till which returns should be calculated.
Defaults to the last date of the series.
frequency: frequency:
The frequency at which returns should be calculated.
return_period_unit : return_period_unit : 'years', 'months', 'days'
The type of time period to use for return calculation.
return_period_value : return_period_value : int
The value of the specified interval type over which returns needs to be calculated.
as_on_match: as_on_match: