Performance metrics (`fynance.metrics`)¶

Risk-adjusted ratios, return and drawdown metrics to evaluate a strategy out-of-sample. A metric evaluates a series — distinct from fynance.features, which builds inputs.

Ratios & returns¶

`sharpe`(X[, rf, period, log, axis, dtype, ddof])	Compute the Sharpe ratio for each X' series.
`sortino`(X[, rf, period, log, axis, dtype, ddof])	Compute the Sortino ratio for each X' series.
`calmar`(X[, period, axis, dtype, ddof])	Compute the Calmar Ratio for each X' series.
`annual_return`(X[, period, axis, dtype, ddof])	Compute compouned annual returns of each X' series.
`annual_volatility`(X[, period, log, axis, ...])	Compute the annualized volatility of each X' series.
`diversified_ratio`(X[, W, std_method, axis])	Compute diversification ratio of a portfolio.
`perf_index`(X[, base, axis, dtype])	Compute performance of prices or index values along time axis.
`perf_returns`(R[, kind, base, axis, dtype])	Compute performance of returns along time axis.
`perf_strat`(X[, S, base, axis, dtype, reinvest])	Compute the performance of strategies for each X' series.
`returns_strat`(X[, S, kind, base, axis, dtype])	Compute the returns of strategies for each X' series.

Drawdown¶

`drawdown`(X[, raw, axis, dtype])	Measures the drawdown of each X' series.
`mdd`(X[, raw, axis, dtype])	Compute the maximum drawdown for each X' series.

Rolling versions¶

`roll_sharpe`(X[, rf, period, w, log, axis, ...])	Compute rolling sharpe ratio of each X' series.
`roll_calmar`(X[, period, w, axis, dtype, ddof])	Compute the rolling Calmar ratio of each X' series.
`roll_annual_return`(X[, period, w, axis, ...])	Compute rolling compouned annual returns of each X' series.
`roll_annual_volatility`(X[, period, log, w, ...])	Compute the annualized volatility of each X' series.
`roll_drawdown`(X[, w, raw, axis, dtype])	Measures the rolling drawdown of each X' series.
`roll_mdd`(X[, w, raw, axis, dtype])	Compute the rolling maximum drawdown for each X' series.

Aggregated report¶

summary(prices[, period, rf])

Standard performance summary of an equity/price curve.