Пример #1
0
def sharpe_ratio(returns, riskFreeRate, tradingPeriods, annualized=True):
    ret = 0.0

    # From http://en.wikipedia.org/wiki/Sharpe_ratio: if Rf is a constant risk-free return throughout the period,
    # then stddev(R - Rf) = stddev(R).
    volatility = stats.stddev(returns, 1)

    if volatility != 0:
        rfPerReturn = riskFreeRate / float(tradingPeriods)
        avgExcessReturns = stats.mean(returns) - rfPerReturn
        ret = avgExcessReturns / volatility

        if annualized:
            ret = ret * math.sqrt(tradingPeriods)
    return ret
Пример #2
0
def sharpe_ratio(returns, riskFreeRate, tradingPeriods, annualized=True):
    ret = 0.0

    # From http://en.wikipedia.org/wiki/Sharpe_ratio: if Rf is a constant risk-free return throughout the period,
    # then stddev(R - Rf) = stddev(R).
    volatility = stats.stddev(returns, 1)

    if volatility != 0:
        rfPerReturn = riskFreeRate / float(tradingPeriods)
        avgExcessReturns = stats.mean(returns) - rfPerReturn
        ret = avgExcessReturns / volatility

        if annualized:
            ret = ret * math.sqrt(tradingPeriods)
    return ret
Пример #3
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def sharpe_ratio_2(returns, riskFreeRate, firstDateTime, lastDateTime, annualized=True):
    ret = 0.0

    # From http://en.wikipedia.org/wiki/Sharpe_ratio:
    # if Rf is a constant risk-free return throughout the period, then stddev(R - Rf) = stddev(R).
    volatility = stats.stddev(returns, 1)

    if volatility != 0:
        # We use 365 instead of 252 becuase we wan't the diff from 1/1/xxxx to 12/31/xxxx to be 1 year.
        yearsTraded = days_traded(firstDateTime, lastDateTime) / 365.0

        riskFreeRateForPeriod = riskFreeRate * yearsTraded
        rfPerReturn = riskFreeRateForPeriod / float(len(returns))

        avgExcessReturns = stats.mean(returns) - rfPerReturn
        ret = avgExcessReturns / volatility
        if annualized:
            ret = ret * math.sqrt(len(returns) / yearsTraded)
    return ret
Пример #4
0
def sharpe_ratio_2(returns,
                   riskFreeRate,
                   firstDateTime,
                   lastDateTime,
                   annualized=True):
    ret = 0.0

    # From http://en.wikipedia.org/wiki/Sharpe_ratio:
    # if Rf is a constant risk-free return throughout the period, then stddev(R - Rf) = stddev(R).
    volatility = stats.stddev(returns, 1)

    if volatility != 0:
        # We use 365 instead of 252 becuase we wan't the diff from 1/1/xxxx to 12/31/xxxx to be 1 year.
        yearsTraded = days_traded(firstDateTime, lastDateTime) / 365.0

        riskFreeRateForPeriod = riskFreeRate * yearsTraded
        rfPerReturn = riskFreeRateForPeriod / float(len(returns))

        avgExcessReturns = stats.mean(returns) - rfPerReturn
        ret = avgExcessReturns / volatility
        if annualized:
            ret = ret * math.sqrt(len(returns) / yearsTraded)
    return ret