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quantra-go-algo/Python code for Sharpe Ratio.py

Last active March 5, 2024 11:59
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Sharpe Ratio - Sharpe Ratio in Python
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Python code for Sharpe Ratio.py
# Load the required modules and packages
import numpy as np
import pandas as pd
import yfinance as yf
# Pull NIFTY data from Yahoo finance
NIFTY = yf.download('^NSEI','2012-01-01', '2016-01-01')
# Compute the logarithmic returns using the closing price
returns = np.log(NIFTY['Close'] / NIFTY['Close'].shift(1))
volatility = returns.std() * np.sqrt(252)
sharpe_ratio = ((returns.mean()*252) - 0.05) / volatility
sharpe_ratio
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