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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​

data: list[openbb_core.provider.abstract.data.Data]

Time series data.

• Optional: False

target: str

Target column name.

• Optional: False

rfr: float

Risk-free rate, by default 0.0

• Optional: True

window: int

Window size, by default 252

• Default: 252

• Optional: True

index: str

• Default: date

• Optional: True

Returns​

results: list[Data]

Serializable results.

provider: None

Provider name.

warnings: Optional[list[Warning_]]

list of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

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