def testSortinoCalculation_Random(self):
daily_returns = [0.0268, -0.0399, -0.019, -0.0277, -0.0282, -0.0264, -0.0183, 0.0314, -0.0141, -0.0244]
target_return = 0
result = sortino.sortino_ratio(daily_returns, target_return)
assert round(result, 3) == -9.602
def testSortinoCalculation_Redrock(self):
# Based on http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
annual_returns = [0.17, 0.15, 0.23, -0.05, 0.12, 0.09, 0.13, -0.04]
target_return = 0
result = sortino.sortino_ratio(annual_returns, target_return, annualized=False)
assert round(result, 3) == 4.417
def testSortinoCalculation_Sunrise(self):
# Based on http://www.sunrisecapital.com/wp-content/uploads/2014/06/Futures_Mag_Sortino_0213.pdf
annual_returns = [0.02, 0.01, -0.01, 0.18, 0.08, -0.02, 0.01, -0.01]
target_return = 0
result = sortino.sortino_ratio(annual_returns, target_return, annualized=False)
assert round(result, 2) == 3.75
def testSortinoCalculation_IBPerf(self):
# Based on Huba's performance for time period 2016. 08. 19. - 08. 29.
daily_returns = [0.0025, 0.0017, 0.0041, 0.0002, 0.0007, 0.0005, -0.0029,
-0.0063, -0.0059, 0.0007, 0.0027, 0, -0.0020, -0.0034, 0.0015, -0.0010]
target_return = 0
result = sortino.sortino_ratio(daily_returns, target_return)
assert round(result, 2) == -4.73
