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 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
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
