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quantra-go-algo/Treynor_ratio.py Secret

Created December 22, 2022 07:33
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Treynor_ratio.py
import numpy as np
import pandas as pd
def cumulative_returns(df):
return (df[-1]/df[0])-1
def Treynor_Ratio(pv,ticker_name,start,end,shares,cash,rf=0):
tickers = [ticker_name]
ticker_name_adj_close = get_adjusted_close(tickers,start,end)
ticker_name_pv = Portfolio_Value(comp_adj_close,shares,cash)
ticker_name_returns = daily_returns(comp_pv)
port_returns = daily_returns(pv)
covariance = np.cov(port_returns,ticker_name_returns)[0][1]
variance = np.var(ticker_name_returns)
beta = covariance/variance
Treynor_Ratio = (cumulative_returns(pv) - rf)/beta
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