sharpe_ratio¶
-
sharpe_ratio
(series, currency, rolling=0, curve_type=<CurveType.PRICES: 'prices'>)[source]¶ Calculate Sharpe ratio
- Parameters
series (
Series
) – series of prices or excess returns for an assetcurrency (
RiskFreeRateCurrency
) – currency for risk-free ratecurve_type (
CurveType
) – whether input series is of prices or excess returnsrolling (
int
) – rolling window to use
- Return type
Series
- Returns
Sharpe ratio
Usage
Given a price series and risk-free rate (a number, currency, or cash asset), returns the rolling Sharpe ratio.
For a fixed rate R, excess returns E are calculated as:
\(E_t = E_{t-1} + P_t - P_{t-1} * (1 + R * DCF_{t-1,t})\)
Subscripts refers to dates in the price series.
P is a point in the price series.
DCF is the day count fraction using the Act/360 convention.