def sharpe_ratio(returns, riskFreeRate, tradingPeriods, annualized=True):
ret = 0.0
# From http://en.wikipedia.org/wiki/Sharpe_ratio: if Rf is a constant risk-free return throughout the period,
# then stddev(R - Rf) = stddev(R).
volatility = stats.stddev(returns, 1)
if volatility != 0:
rfPerReturn = riskFreeRate / float(tradingPeriods)
avgExcessReturns = stats.mean(returns) - rfPerReturn
ret = avgExcessReturns / volatility
if annualized:
ret = ret * math.sqrt(tradingPeriods)
return ret
def sharpe_ratio(returns, riskFreeRate, tradingPeriods, annualized=True):
ret = 0.0
# From http://en.wikipedia.org/wiki/Sharpe_ratio: if Rf is a constant risk-free return throughout the period,
# then stddev(R - Rf) = stddev(R).
volatility = stats.stddev(returns, 1)
if volatility != 0:
rfPerReturn = riskFreeRate / float(tradingPeriods)
avgExcessReturns = stats.mean(returns) - rfPerReturn
ret = avgExcessReturns / volatility
if annualized:
ret = ret * math.sqrt(tradingPeriods)
return ret
def sharpe_ratio_2(returns, riskFreeRate, firstDateTime, lastDateTime, annualized=True):
ret = 0.0
# From http://en.wikipedia.org/wiki/Sharpe_ratio:
# if Rf is a constant risk-free return throughout the period, then stddev(R - Rf) = stddev(R).
volatility = stats.stddev(returns, 1)
if volatility != 0:
# We use 365 instead of 252 becuase we wan't the diff from 1/1/xxxx to 12/31/xxxx to be 1 year.
yearsTraded = days_traded(firstDateTime, lastDateTime) / 365.0
riskFreeRateForPeriod = riskFreeRate * yearsTraded
rfPerReturn = riskFreeRateForPeriod / float(len(returns))
avgExcessReturns = stats.mean(returns) - rfPerReturn
ret = avgExcessReturns / volatility
if annualized:
ret = ret * math.sqrt(len(returns) / yearsTraded)
return ret
def sharpe_ratio_2(returns,
riskFreeRate,
firstDateTime,
lastDateTime,
annualized=True):
ret = 0.0
# From http://en.wikipedia.org/wiki/Sharpe_ratio:
# if Rf is a constant risk-free return throughout the period, then stddev(R - Rf) = stddev(R).
volatility = stats.stddev(returns, 1)
if volatility != 0:
# We use 365 instead of 252 becuase we wan't the diff from 1/1/xxxx to 12/31/xxxx to be 1 year.
yearsTraded = days_traded(firstDateTime, lastDateTime) / 365.0
riskFreeRateForPeriod = riskFreeRate * yearsTraded
rfPerReturn = riskFreeRateForPeriod / float(len(returns))
avgExcessReturns = stats.mean(returns) - rfPerReturn
ret = avgExcessReturns / volatility
if annualized:
ret = ret * math.sqrt(len(returns) / yearsTraded)
return ret
