Skip to content

Instantly share code, notes, and snippets.

@quantra-go-algo

quantra-go-algo/Sortino_Ratio.py Secret

Created December 22, 2022 07:14
Show Gist options
  • Star 0 You must be signed in to star a gist
  • Fork 0 You must be signed in to fork a gist
  • Save quantra-go-algo/52b286e5d365c18745e70f0d3689572a to your computer and use it in GitHub Desktop.
Save quantra-go-algo/52b286e5d365c18745e70f0d3689572a to your computer and use it in GitHub Desktop.
Download ZIP
Raw
Sortino_Ratio.py
# Sortino Ratio function
def sortino(returns, daily_risk_free_rate, days=252):
volatility = returns.std()
sortino_ratio = (expected_returns - daily_risk_free_rate) / volatility * np.sqrt(days)
return sortino_ratio
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment