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.

Parameters

• standard

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

Time series data.

• Optional: False

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target: str

Target column name.

• Optional: False

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rfr: float

Risk-free rate, by default 0.0

• Optional: True

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window: int

Window size, by default 252

• Default: 252

• Optional: True

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index: str

• Default: date

• Optional: True

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Returns

results: list[Data]

Serializable results.

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provider: None

Provider name.

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warnings: Optional[list[Warning_]]

list of warnings.

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chart: Optional[Chart]

Chart object.

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extra: dict[str, Any]

Extra info.

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