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Risk adjusted returns based on Drawdown risk
Note that this Gist uses functions made available in another Gist -
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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