Sharpe Ratio

class src.boatwright.PerformanceMetrics.SharpeRatio.SharpeRatio

Sharpe Ratio = (Return Rates - Risk Free Rate) / std(Return Rates - Risk Free Rate) Annualized Sharpe Ratio = sharpe * sqrt(number of periods per year)

calculate(backtest, risk_free_rate=0, increments_per_year=1)

Parameters:

• backtest (Backtest) – input backtest

• risk_free_rate (float) – reference risk free rate of return, in percent, on each increment in the backtest. e.g. .15% per day, or .01% per minute

• increments_per_year (float) – e.g. 365 for daily crypto data, or 252 for daily stock data (aproximate number of trading days per year)