def plot_rolling_sharpe(returns, nperiods, rfrate, window, ax=None):
"""
Plot rolling Sharpe ratio
returns = series of returns
nperiods = number of returns in a year
rfrate = risk free rate
window = number of months in sliding window
"""
if ax is None:
ax = plt.gca()
overall_sharpe = timeseries.sharpe_ratio(returns, nperiods, rfrate)
rolling_sharpe = timeseries.rolling_sharpe(returns, nperiods,
rfrate, 21*window)
ax.plot(rolling_sharpe, color='orangered', lw=2,
label='Rolling Sharpe')
ax.axhline(overall_sharpe,
color='steelblue', linestyle='--', lw=3,
label='Overall Sharpe')
ax.axhline(0, color='black', linestyle='-', lw=2)
style_default(ax,
title='Rolling Sharpe ratio ({} months)'.format(window),
ylabel='Sharpe ratio')
def plot_rolling_sharpe(returns, nperiods, rfrate, window, ax=None):
"""
Plot rolling Sharpe ratio
returns = series of returns
nperiods = number of returns in a year
rfrate = risk free rate
window = number of months in sliding window
"""
if ax is None:
ax = plt.gca()
overall_sharpe = timeseries.sharpe_ratio(returns, nperiods, rfrate)
rolling_sharpe = timeseries.rolling_sharpe(returns, nperiods, rfrate,
21 * window)
ax.plot(rolling_sharpe, color='orangered', lw=2, label='Rolling Sharpe')
ax.axhline(overall_sharpe,
color='steelblue',
linestyle='--',
lw=3,
label='Overall Sharpe')
ax.axhline(0, color='black', linestyle='-', lw=2)
style_default(ax,
title='Rolling Sharpe ratio ({} months)'.format(window),
ylabel='Sharpe ratio')
def sharpe_ratio(self):
self.sharpe = timeseries.sharpe_ratio(
self.returns, self.frequency, self.rfrate)
self.results['Sharpe ratio'] = format_string(self.sharpe, '.2f')
def sharpe_ratio(self):
self.sharpe = timeseries.sharpe_ratio(
self.returns, self.frequency, self.rfrate)
self.results['Sharpe ratio'] = format_string(self.sharpe, '.2f')