def annualized(R, scale=None, geometric=True): n = len(R) result = 0 if scale is None: scale = utils.periodicity(R).scale if geometric: result = math.pow((1 + R).prod(), scale / n) - 1 else: result = R.mean() * scale return result
def sharp_ratio(R, Rf=0, p=0.95, Func=None, weights=None, annualized=False): scale = 1 if annualized: scale = utils.periodicity(R).scale def srm(R, Rf, p, Func): xR = returns.excess(R, Rf) SRM = xR.mean() / Func #if annualized: #returns.annualized(xR)/srm(R, p, invert=False) pass