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quantra-go-algo/Sharpe_Ratio.py Secret

Created December 22, 2022 07:35
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Sharpe_Ratio.py
# Sharpe Ratio function
def sharpe(returns, daily_risk_free_rate, days=252):
volatility = returns.std()
sharpe_ratio = (returns.mean() - daily_risk_free_rate) / volatility * np.sqrt(days)
return sharpe_ratio
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