financial_ratio.py

import pandas as pd
import numpy as np

def ratio(ret1: pd.Series,
          ret2: pd.Series = 0,
          ratio: str = 'sharpe',
          log: bool = True) -> float:
    """log: if True, convert ret1 and ret2 to log returns"""
    if log:
        ret1 = np.log1p(ret1)
        ret2 = np.log1p(ret2) 
    ret = ret1 - ret2
    if ratio == 'sortino':
        neg_ret = ret[ret<0]
        ratio = ret.mean() / neg_ret.std()
    elif ratio == 'sharpe':
        ratio = ret.mean() / ret.std()
    ratio = ratio * np.sqrt(365)
    return ratio