More Sharpe tests

2022-05-16 22:29:18 +05:30 · 2022-05-16 22:29:18 +05:30 · 95e9bfd51c
commit 95e9bfd51c
parent 5512a647ad
1 changed files with 10 additions and 0 deletions
--- a/tests/test_stats.py
+++ b/tests/test_stats.py
@ -72,3 +72,13 @@ class TestSharpe:
            return_period_value=1,
        )
        assert round(sharpe_ratio, 4) == 0.4898
+
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.052,
+            from_date="2018-01-01",
+            to_date="2021-12-31",
+            return_period_unit="months",
+            return_period_value=12,
+        )
+        assert round(sharpe_ratio, 4) == 0.3199