annual_turnoverΒΆ

Defined in fynance.metrics

annual_turnover(W, period=252)[source]

Annualized one-way turnover, mean(turnover_series(W)) * period.

Parameters:
Warray_like

Weights held at each step, shape (T,) or (T, N). A 1-D input is reshaped to (T, 1).

periodint, optional

Annualization factor (bars per year, 252 for daily). Default 252.

Returns:
float

Annualized turnover rate.

See also

turnover_series

the underlying per-bar turnover.

Examples

>>> import numpy as np
>>> W = np.array([[1.0, 0.0], [0.5, -0.5], [-1.0, -1.0], [0.0, 0.0]])
>>> annual_turnover(W, period=252)
378.0