sharpe_ratio
Get Rolling Sharpe Ratio.
This function calculates the Sharpe Ratio, a metric used to assess the return of an investment compared to its risk. By factoring in the risk-free rate, it helps you understand how much extra return you're getting for the extra volatility that you endure by holding a riskier asset. The Sharpe Ratio is essential for investors looking to compare the efficiency of different investments, providing a clear picture of potential rewards in relation to their risks over a specified period. Ideal for gauging the effectiveness of investment strategies, it offers insights into optimizing your portfolio for maximum return on risk.
Examples
from openbb import obb
# Get Rolling Sharpe Ratio.
stock_data = obb.equity.price.historical(symbol="TSLA", start_date="2023-01-01", provider="fmp").to_df()
returns = stock_data["close"].pct_change().dropna()
obb.quantitative.performance.sharpe_ratio(data=returns, target="close")
obb.quantitative.performance.sharpe_ratio(target='close', window=2, data=[{'date': '2023-01-02', 'close': 0.05}, {'date': '2023-01-03', 'close': 0.08}, {'date': '2023-01-04', 'close': 0.07}, {'date': '2023-01-05', 'close': 0.06}, {'date': '2023-01-06', 'close': 0.06}])
Parameters
- standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| data | List[Data] | Time series data. | False | |
| target | str | Target column name. | False | |
| rfr | float, optional | Risk-free rate, by default 0.0 | False | |
| window | PositiveInt, optional | Window size, by default 252 | False | |
| index | str, optional | Returns | False |
Returns
OBBject
results : List[Data]
Sharpe ratio.