def calculateSingalWindowSharp(returns, window, factor):
res = []
rscalc = MovingSharp(window=int(window * APPROX_BDAYS_PER_MONTH))
for ret in returns:
rscalc.push({'ret': ret, 'riskFree': 0})
try:
# in PyFin, sharp is not annualized
res.append(rscalc.result() * sqrt(APPROX_BDAYS_PER_YEAR / factor))
except ZeroDivisionError:
res.append(np.nan)
return res
def calculateSingalWindowSharp(returns, window, factor):
res = []
rscalc = MovingSharp(window=int(window * APPROX_BDAYS_PER_MONTH))
for ret in returns:
rscalc.push({'ret': ret, 'riskFree': 0})
try:
# in PyFin, sharp is not annualized
res.append(rscalc.result() *
sqrt(APPROX_BDAYS_PER_YEAR / factor))
except ZeroDivisionError:
res.append(np.nan)
return res
def calculate_sharp(returns, multplier=50):
msharp = MovingSharp(len(returns), x='ret', y='riskFree')
for ret in returns:
msharp.push({'ret': ret, 'riskFree': 0.})
return msharp.value * math.sqrt(multplier)
def calculate_sharp(returns):
msharp = MovingSharp(len(returns))
for ret in returns:
msharp.push({'ret': ret, 'riskFree': 0.})
return msharp.value * math.sqrt(50)
def calculate_sharp(returns, multplier=50):
msharp = MovingSharp(len(returns))
for ret in returns:
msharp.push({"ret": ret, "riskFree": 0.0})
return msharp.value * math.sqrt(multplier)