ematvey / pybacktest

Vectorized backtesting framework in Python / pandas, designed to make your backtesting easier — compact, simple and fast
MIT License
807 stars 241 forks source link

Change to annualized sharpe ratio calculation #15

Closed erincr closed 8 years ago

erincr commented 8 years ago

Changes sharpe() function from (d.mean()/d.std())**(252**.5) to (d.mean()/d.std())*(252**.5).

Addresses issue #14 (sharpe ratio calc).