pmorissette / ffn

ffn - a financial function library for Python

pmorissette.github.io/ffn

MIT License

2.03k stars 300 forks source link

calc_sharpe to use std dev of excess returns #114

Closed timkpaine closed 3 years ago

timkpaine commented 3 years ago

moving from #94

ptomecek commented 3 years ago

Looks fine to me, but also note that calc_sortino_ratio uses the negative of original returns and not excess returns. It feels like this should be fixed too.

timkpaine commented 3 years ago

116

timkpaine commented 3 years ago

thanks @simjason !