qbtrade/pkg/types/sharpe.go
2024-06-27 22:42:38 +08:00

49 lines
1.2 KiB
Go

package types
import (
"math"
)
// Sharpe: Calcluates the sharpe ratio of access returns
//
// @param returns (Series): Series of profit/loss percentage every specific interval
// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy, 1 for annually)
// @param annualize (bool): return annualize sharpe?
// @param smart (bool): return smart sharpe ratio
func Sharpe(returns Series, periods int, annualize bool, smart bool) float64 {
data := returns
var divisor = Stdev(data, data.Length(), 1)
if smart {
divisor *= autocorrPenalty(returns)
}
if divisor == 0 {
mean := Mean(data)
if mean > 0 {
return math.Inf(1)
} else if mean < 0 {
return math.Inf(-1)
} else {
return 0
}
}
result := Mean(data) / divisor
if annualize {
return result * math.Sqrt(float64(periods))
}
return result
}
func avgReturnRate(returnRate float64, periods int) float64 {
return math.Pow(1.+returnRate, 1./float64(periods)) - 1.
}
func autocorrPenalty(data Series) float64 {
num := data.Length()
coef := math.Abs(Correlation(data, Shift(data, 1), num-1))
var sum = 0.
for i := 1; i < num; i++ {
sum += float64(num-i) / float64(num) * math.Pow(coef, float64(i))
}
return math.Sqrt(1. + 2.*sum)
}