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feature: implement omega, sharp, sortino related functions

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zenix 2022-06-16 20:04:04 +09:00
parent b26d3005a3
commit 36127a6332
3 changed files with 16 additions and 0 deletions
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pkg/statistics/omega.go Normal file
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package statistics

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pkg/statistics/sharp.go Normal file
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package statistics
import (
"github.com/c9s/bbgo/pkg/types"
)
// Sharpe: Calcluates the sharpe ratio of access returns
//
// @param rf (float): Risk-free rate expressed as a yearly (annualized) return
// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy)
// @param annualize (bool): return annualize sharpe?
// @param smart (bool): return smart sharpe ratio
func Sharpe(returns types.Series, rf float64, periods int, annualize bool, smart bool) {
}

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pkg/statistics/sortino.go Normal file
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package statistics