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s-leroux / fin

Set of tools for personal investment
MIT License
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Implement Sharpe ratio #7

Open s-leroux opened 1 year ago

s-leroux commented 1 year ago

There is a preliminary implementation of the Sharpe ratio. It needs to be fixed.

https://github.com/s-leroux/fin/blob/46a55e6504f641bccbfb1d404b20b446bfbd4bed/fin/seq/algo.py#L256-L276

See Risk Management in Trading (Edwrads), p109: image