summary

Defined in fynance.metrics

summary(prices, period=252, rf=0.0)

Standard performance summary of an equity/price curve.

Parameters:

pricesarray-like

Equity or price curve (not returns).

periodint

Annualization factor (252 for daily data).

rffloat

Risk-free rate passed to the Sharpe ratio.

Returns:

dict of str to float

annual_return, annual_volatility, sharpe, sortino, calmar and max_drawdown.

Examples

>>> import numpy as np
>>> eq = np.array([100., 101., 103., 102., 105., 107.])
>>> s = summary(eq)
>>> sorted(s)
['annual_return', 'annual_volatility', 'calmar', 'max_drawdown', 'sharpe', 'sortino']