sortino tests are now passing

pyfacts/pyfacts.py

@@ -327,12 +327,18 @@ class TimeSeries(TimeSeriesCore):
 
         as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest)
 
-        current = _find_closest_date(self.data, as_on, closest_max_days, as_on_delta, if_not_found)
+        current = _find_closest_date(self, as_on, closest_max_days, as_on_delta, if_not_found)
+
         prev_date = as_on - relativedelta(**{return_period_unit: return_period_value})
         if current[1] != str("nan"):
-            previous = _find_closest_date(self.data, prev_date, closest_max_days, prior_delta, if_not_found)
+            previous = _find_closest_date(self, prev_date, closest_max_days, prior_delta, if_not_found)
 
-        if current[1] == str("nan") or previous[1] == str("nan"):
+        if (
+            current[1] == str("nan")
+            or previous[1] == str("nan")
+            or current[0] == str("nan")
+            or previous[0] == str("nan")
+        ):
             return as_on, float("NaN")
 
         returns = current[1] / previous[1]
@@ -593,7 +599,7 @@ class TimeSeries(TimeSeriesCore):
         kwargs["to_date"] = kwargs.get("to_date", self.end_date)
 
         rr = self.calculate_rolling_returns(**kwargs)
-        mean_rr = statistics.mean(rr.values)
+        mean_rr = statistics.mean(filter(lambda x: str(x) != "nan", rr.values))
         if annualise_returns:
             mean_rr = (1 + mean_rr) ** (1 / years) - 1
 

pyfacts/statistics.py

@@ -574,8 +574,10 @@ def sortino_ratio(
         "closest": closest,
         "date_format": date_format,
     }
-    average_rr_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=False)
-    average_rr = statistics.mean(average_rr_ts.values)
+    average_rr_ts = time_series_data.calculate_rolling_returns(
+        **common_params, annual_compounded_returns=False, if_not_found="nan"
+    )
+    average_rr = statistics.mean(filter(lambda x: str(x) != "nan", average_rr_ts.values))
     annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1
 
     excess_returns = annualized_average_rr - risk_free_rate

pyfacts/utils.py

@@ -166,7 +166,7 @@ def _preprocess_from_to_date(
 
     if from_date is None:
         expected_start_date = time_series.start_date + relativedelta(**{return_period_unit: return_period_value})
-        from_date = _find_closest_date(time_series.data, expected_start_date, 999, as_on_match, "fail")[0]
+        from_date = _find_closest_date(time_series, expected_start_date, 999, as_on_match, "fail")[0]
 
     if to_date is None:
         to_date = time_series.end_date
@@ -181,16 +181,26 @@ def _find_closest_date(
     delta: datetime.timedelta,
     if_not_found: Literal["fail", "nan"],
 ) -> Tuple[datetime.datetime, float]:
-    """Helper function to find data for the closest available date"""
+    """Helper function to find data for the closest available date
 
-    if delta.days < 0 and date < min(data):
+    data:
+        TimeSeries data
+    """
+
+    if delta.days < 0 and date < min(data.data):
+        if if_not_found == "nan":
+            return float("NaN"), float("NaN")
+        else:
             raise DateOutOfRangeError(date, "min")
-    if delta.days > 0 and date > max(data):
+    if delta.days > 0 and date > max(data.data):
+        if if_not_found == "nan":
+            return float("NaN"), float("NaN")
+        else:
             raise DateOutOfRangeError(date, "max")
 
     row: tuple = data.get(date, None)
     if row is not None:
-        return date, row
+        return row
 
     if delta and limit_days != 0:
         return _find_closest_date(data, date + delta, limit_days - 1, delta, if_not_found)

tests/test_stats.py

@@ -117,25 +117,25 @@ class TestSortino:
         )
         assert round(sortino, 4) == -5.5233
 
-    #     sharpe_ratio = pft.sharpe_ratio(
-    #         ts,
-    #         risk_free_rate=0.052,
-    #         from_date="2017-02-05",
-    #         to_date="2021-12-31",
-    #         return_period_unit="months",
-    #         return_period_value=1,
-    #     )
-    #     assert round(sharpe_ratio, 4) == 0.4898
+        sortino = pft.sortino_ratio(
+            ts,
+            risk_free_rate=0.052,
+            from_date="2017-02-05",
+            to_date="2021-12-31",
+            return_period_unit="months",
+            return_period_value=1,
+        )
+        assert round(sortino, 4) == -1.93
 
-    #     sharpe_ratio = pft.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
+        sortino = pft.sortino_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(sortino, 4) == -3.9805
 
 
 class TestBeta: