sharpe_ratio

sharpe_ratio(prices_, risk_free_rate)[source]

Calculate Sharpe ratio

Parameters
  • prices – series of prices for an asset

  • risk_free_rate (Union[Currency, float]) – a fixed rate or currency like USD

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.