def get_volatility(input_df, params=None):
"""function to calculate annualized volatility of a trading strategy"""
if params is None:
raise ValueError("Please set the corresponding Interval parameter"
"{interval:Ct.INTERVAL.MONTH|Ct.INTERVAL.DAY}")
if Ct.neg_volatility_key() not in params.keys():
params[Ct.neg_volatility_key()] = False
reference_days = KPI.get_reference_days(params)
negative = params[Ct.neg_volatility_key()]
df = input_df.copy()
df.columns = df.columns.droplevel(1)
result_df = pd.DataFrame()
# Whole volatility was calculated
if negative is False:
result_df[Volatility.kpi_name] = (df.std() *
np.sqrt(reference_days))
else:
df_neg = df.where(df < 0, 0)
result_df[Volatility.kpi_name] = (df_neg.std() *
np.sqrt(reference_days))
return result_df
def get_sortino(input_df, params=None):
if params is None:
params = {}
if "rf" not in params.keys():
# USA: risk free rate
params = {"rf": 0.0144}
rf = params["rf"]
"function to calculate Sortino ratio ; rf is the risk free rate"
cagr = CAGR.get_cagr(input_df, params)
vol_params = params
vol_params[Ct.neg_volatility_key()] = True
neg_vol = Volatility.get_volatility(input_df, vol_params)
result_df = pd.DataFrame()
result_df[Sortino.kpi_name] = (cagr.loc[:, Ct.cagr_key()] -
rf) / neg_vol.loc[:,
Ct.volatility_key()]
result_df.rename(index={0: Sortino.kpi_name}, inplace=True)
return result_df