pyfacts/statistics.py

@@ -455,115 +455,3 @@ def correlation(
 
     cor = statistics.correlation(asset_rr.values, market_rr.values)
     return cor
-
-
-@date_parser(3, 4)
-def sortino_ratio(
-    time_series_data: TimeSeries,
-    risk_free_data: TimeSeries = None,
-    risk_free_rate: float = None,
-    from_date: str | datetime.datetime = None,
-    to_date: str | datetime.datetime = None,
-    frequency: Literal["D", "W", "M", "Q", "H", "Y"] = None,
-    return_period_unit: Literal["years", "months", "days"] = "years",
-    return_period_value: int = 1,
-    as_on_match: str = "closest",
-    prior_match: str = "closest",
-    closest: Literal["previous", "next"] = "previous",
-    date_format: str = None,
-) -> float:
-    """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.
-
-    The formula for Sharpe ratio is:
-        (average asset return - risk free rate)/volatility of asset returns
-
-    Parameters
-    ----------
-    time_series_data:
-        The time series for which Sharpe ratio needs to be calculated
-
-    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 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:
-        Start date from which returns should be calculated.
-        Defaults to the first date of the series.
-
-    to_date:
-        End date till which returns should be calculated.
-        Defaults to the last date of the series.
-
-    frequency:
-        The frequency at which returns should be calculated.
-
-    return_period_unit: 'years', 'months', 'days'
-        The type of time period to use for return calculation.
-
-    return_period_value: int
-        The value of the specified interval type over which returns needs to be calculated.
-
-    as_on_match: str, optional
-            The mode of matching the as_on_date. Refer closest.
-
-    prior_match: str, optional
-        The mode of matching the prior_date. Refer closest.
-
-    closest: str, optional
-        The mode of matching the closest date.
-        Valid values are 'exact', 'previous', 'next' and next.
-
-    The date format to use for this operation.
-            Should be passed as a datetime library compatible string.
-            Sets the date format only for this operation. To set it globally, use FincalOptions.date_format
-
-    Returns
-    -------
-        Value of Sharpe ratio as a float.
-
-    Raises
-    ------
-    ValueError
-        If risk free data or risk free rate is not provided.
-    """
-
-    interval_days = int(_interval_to_years(return_period_unit, return_period_value) * 365 + 1)
-
-    if from_date is None:
-        from_date = time_series_data.start_date + datetime.timedelta(days=interval_days)
-    if to_date is None:
-        to_date = time_series_data.end_date
-
-    if risk_free_data is None and risk_free_rate is None:
-        raise ValueError("At least one of risk_free_data or risk_free rate is required")
-    elif risk_free_data is not None:
-        risk_free_rate = risk_free_data.mean()
-
-    common_params = {
-        "from_date": from_date,
-        "to_date": to_date,
-        "frequency": frequency,
-        "return_period_unit": return_period_unit,
-        "return_period_value": return_period_value,
-        "as_on_match": as_on_match,
-        "prior_match": prior_match,
-        "closest": closest,
-        "date_format": date_format,
-    }
-    average_rr_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=True)
-    average_rr = statistics.mean(average_rr_ts.values)
-
-    excess_returns = average_rr - risk_free_rate
-    sd = statistics.stdev([i for i in average_rr_ts.values if i < 0])
-
-    sortino_ratio_value = excess_returns / sd
-    return sortino_ratio_value