/DrawdownAdjustedReturns.py
Created Jun 12, 2015
Risk adjusted returns based on Drawdown risk
| """ | |
| Note that this Gist uses functions made available in another Gist - | |
| https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856 | |
| """ | |
| def calmar_ratio(er, returns, rf): | |
| return (er - rf) / max_dd(returns) | |
| def sterling_ration(er, returns, rf, periods): | |
| return (er - rf) / average_dd(returns, periods) | |
| def burke_ratio(er, returns, rf, periods): | |
| return (er - rf) / math.sqrt(average_dd_squared(returns, periods)) |
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