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Implement Sortino Ratio #41

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miron opened this issue Jun 26, 2022 · 0 comments

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miron commented Jun 26, 2022

def sortino_ratio(df, threshold=0, rfr):
    """Annual Sortino Ratio
    downside = df[df < treshold]
    std = downside.std()
    _sortino_ratio = (self.mean_returns() - rfr) / std
    return sortino_ratio * np.sqrt(TD)

miron added the enhancement label

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