From aea6bf9b5739d13d8df8230be5505d12b1e822c3 Mon Sep 17 00:00:00 2001
From: Gourav Kumar <gourav2711@gmail.com>
Date: Sun, 8 May 2022 21:04:48 +0530
Subject: [PATCH] Some tests for Sharpe ratio Also some corrections based
 identified during testing

---
 README.md           |  5 ++++-
 fincal/fincal.py    |  4 ++--
 tests/test_stats.py | 51 +++++++++++++++++++++++++++++++++++++++++++++
 3 files changed, 57 insertions(+), 3 deletions(-)
 create mode 100644 tests/test_stats.py

diff --git a/README.md b/README.md
index b6b5333..69068c9 100644
--- a/README.md
+++ b/README.md
@@ -28,9 +28,12 @@ Fincal aims to simplify things by allowing you to:
 ### Fincal features
 - [x] Sync two TimeSeries
 - [x] Average rolling return
-- [ ] Sharpe ratio
+- [x] Sharpe ratio
 - [ ] Jensen's Alpha
 - [ ] Beta
+- [ ] Sortino ratio
+- [ ] Correlation & R-squared
+- [ ] Treynor ratio
 - [x] Max drawdown
 
 ### Pending implementation
diff --git a/fincal/fincal.py b/fincal/fincal.py
index b911a9e..f10bd20 100644
--- a/fincal/fincal.py
+++ b/fincal/fincal.py
@@ -528,7 +528,7 @@ class TimeSeries(TimeSeriesCore):
                 traded_days = FincalOptions.traded_days
 
             if return_period_unit == "months":
-                sd *= math.sqrt(12)
+                sd *= math.sqrt(12 / return_period_value)
             elif return_period_unit == "days":
                 sd *= math.sqrt(traded_days / return_period_value)
 
@@ -805,7 +805,7 @@ def read_csv(
     nrows: int = -1,
     delimiter: str = ",",
     encoding: str = "utf-8",
-) -> TimeSeriesCore:
+) -> TimeSeries:
     """Reads Time Series data directly from a CSV file"""
 
     data = _preprocess_csv(csv_file_path, delimiter, encoding)
diff --git a/tests/test_stats.py b/tests/test_stats.py
new file mode 100644
index 0000000..7b24872
--- /dev/null
+++ b/tests/test_stats.py
@@ -0,0 +1,51 @@
+import fincal as fc
+
+
+def test_conf(conf_fun):
+    conf_add = conf_fun
+    assert conf_add(2, 4) == 6
+
+
+class TestSharpe:
+    def test_sharpe_daily(self, create_test_data):
+        data = create_test_data(num=1305, frequency=fc.AllFrequencies.D, skip_weekends=True)
+        ts = fc.TimeSeries(data, "D")
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.06,
+            from_date="2017-02-04",
+            to_date="2021-12-31",
+            return_period_unit="months",
+            return_period_value=1,
+        )
+        assert round(sharpe_ratio, 4) == 1.0502
+
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.06,
+            from_date="2017-01-09",
+            to_date="2021-12-31",
+            return_period_unit="days",
+            return_period_value=7,
+        )
+        assert round(sharpe_ratio, 4) == 1.0701
+
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.06,
+            from_date="2018-01-02",
+            to_date="2021-12-31",
+            return_period_unit="years",
+            return_period_value=1,
+        )
+        assert round(sharpe_ratio, 4) == 1.4374
+
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.06,
+            from_date="2017-07-03",
+            to_date="2021-12-31",
+            return_period_unit="months",
+            return_period_value=6,
+        )
+        assert round(sharpe_ratio, 4) == 0.8401