sharpe_ratio

sharpe_ratio(series, currency, rolling=0, curve_type=<CurveType.PRICES: 'prices'>)[source]

Calculate Sharpe ratio

Parameters
  • series (Series) – series of prices or excess returns for an asset

  • currency (RiskFreeRateCurrency) – currency for risk-free rate

  • curve_type (CurveType) – whether input series is of prices or excess returns

  • rolling (int) – rolling window to use

Return type

Series

Returns

Sharpe ratio

Usage

Given a price series and risk-free rate (a number, currency, or cash asset), returns the rolling Sharpe ratio.

For a fixed rate R, excess returns E are calculated as:

\(E_t = E_{t-1} + P_t - P_{t-1} * (1 + R * DCF_{t-1,t})\)

Subscripts refers to dates in the price series.

P is a point in the price series.

DCF is the day count fraction using the Act/360 convention.