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Merge pull request #886 from COLDTURNIP/feature/sortino_ratio
Add Sortino ratio
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commit
bcd524361d
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@ -7,20 +7,14 @@ import (
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// Sharpe: Calcluates the sharpe ratio of access returns
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//
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// @param returns (Series): Series of profit/loss percentage every specific interval
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// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy)
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// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy, 1 for annually)
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// @param annualize (bool): return annualize sharpe?
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// @param smart (bool): return smart sharpe ratio
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func Sharpe(returns Series, periods int, annualize bool, smart bool) float64 {
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data := returns
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num := data.Length()
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divisor := Stdev(data, data.Length(), 1)
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var divisor = Stdev(data, data.Length(), 1)
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if smart {
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sum := 0.
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coef := math.Abs(Correlation(data, Shift(data, 1), num-1))
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for i := 1; i < num; i++ {
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sum += float64(num-i) / float64(num) * math.Pow(coef, float64(i))
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}
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divisor = divisor * math.Sqrt(1.+2.*sum)
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divisor *= autocorrPenalty(returns)
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}
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result := Mean(data) / divisor
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if annualize {
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@ -28,3 +22,17 @@ func Sharpe(returns Series, periods int, annualize bool, smart bool) float64 {
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}
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return result
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}
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func avgReturnRate(returnRate float64, periods int) float64 {
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return math.Pow(1.+returnRate, 1./float64(periods)) - 1.
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}
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func autocorrPenalty(data Series) float64 {
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num := data.Length()
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coef := math.Abs(Correlation(data, Shift(data, 1), num-1))
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var sum = 0.
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for i := 1; i < num; i++ {
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sum += float64(num-i) / float64(num) * math.Pow(coef, float64(i))
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}
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return math.Sqrt(1. + 2.*sum)
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}
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44
pkg/types/sortino.go
Normal file
44
pkg/types/sortino.go
Normal file
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@ -0,0 +1,44 @@
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package types
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import (
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"math"
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)
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// Sortino: Calcluates the sotino ratio of access returns
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//
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// ROI_excess E[ROI] - ROI_risk_free
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// sortino = ---------- = -----------------------
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// risk sqrt(E[ROI_drawdown^2])
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//
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// @param returns (Series): Series of profit/loss percentage every specific interval
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// @param riskFreeReturns (float): risk-free return rate of year
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// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy, 1 for annually)
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// @param annualize (bool): return annualize sortino?
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// @param smart (bool): return smart sharpe ratio
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func Sortino(returns Series, riskFreeReturns float64, periods int, annualize bool, smart bool) float64 {
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avgRiskFreeReturns := 0.
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excessReturn := Mean(returns)
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if riskFreeReturns > 0. && periods > 0 {
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avgRiskFreeReturns = avgReturnRate(riskFreeReturns, periods)
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excessReturn -= avgRiskFreeReturns
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}
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num := returns.Length()
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var sum = 0.
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for i := 0; i < num; i++ {
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exRet := returns.Index(i) - avgRiskFreeReturns
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if exRet < 0 {
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sum += exRet * exRet
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}
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}
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var risk = math.Sqrt(sum / float64(num))
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if smart {
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risk *= autocorrPenalty(returns)
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}
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result := excessReturn / risk
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if annualize {
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return result * math.Sqrt(float64(periods))
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}
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return result
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}
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26
pkg/types/sortino_test.go
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26
pkg/types/sortino_test.go
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@ -0,0 +1,26 @@
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package types
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import (
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"github.com/stretchr/testify/assert"
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"testing"
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)
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/*
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python
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import quantstats as qx
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import pandas as pd
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print(qx.stats.sortino(pd.Series([0.01, -0.03, 0.1, -0.02, 0.001]), 0.00, 0, False, False))
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print(qx.stats.sortino(pd.Series([0.01, -0.03, 0.1, -0.02, 0.001]), 0.03, 252, False, False))
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print(qx.stats.sortino(pd.Series([0.01, -0.03, 0.1, -0.02, 0.001]), 0.03, 252, True, False))
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*/
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func TestSortino(t *testing.T) {
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var a Series = &Float64Slice{0.01, -0.03, 0.1, -0.02, 0.001}
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output := Sortino(a, 0.03, 0, false, false)
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assert.InDelta(t, output, 0.75661, 0.0001)
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output = Sortino(a, 0.03, 252, false, false)
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assert.InDelta(t, output, 0.74597, 0.0001)
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output = Sortino(a, 0.03, 252, true, false)
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assert.InDelta(t, output, 11.84192, 0.0001)
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}
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@ -125,6 +125,18 @@ func (s *IntervalProfitCollector) GetSharpe() float64 {
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return Sharpe(Minus(s.Profits, 1.), s.Profits.Length(), true, false)
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}
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// Get sortino value with the interval of profit collected.
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// No risk-free return rate and smart sortino OFF for the calculated result.
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func (s *IntervalProfitCollector) GetSortino() float64 {
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if s.tmpTime.IsZero() {
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panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
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}
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if s.Profits == nil {
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panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
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}
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return Sortino(Minus(s.Profits, 1.), 0., s.Profits.Length(), true, false)
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}
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func (s *IntervalProfitCollector) GetOmega() float64 {
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return Omega(Minus(s.Profits, 1.))
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}
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@ -132,6 +144,7 @@ func (s *IntervalProfitCollector) GetOmega() float64 {
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func (s IntervalProfitCollector) MarshalYAML() (interface{}, error) {
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result := make(map[string]interface{})
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result["Sharpe Ratio"] = s.GetSharpe()
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result["Sortino Ratio"] = s.GetSortino()
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result["Omega Ratio"] = s.GetOmega()
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result["Profitable Count"] = s.GetNumOfProfitableIntervals()
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result["NonProfitable Count"] = s.GetNumOfNonProfitableIntervals()
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