'iddlmZmZmZmZddlZddlmZddlm Z m Z ddl m Z m Z ddlmZmZGdde ZGd d eZy) )absolute_importdivisionprint_functionunicode_literalsN) itervalues)Analyzer TimeFrame)average standarddev) TimeReturn AnnualReturnc eZdZdZdej fddddddd d d f Zejd ejd ejdej diZ dZ fdZ xZ S) SharpeRatioaB This analyzer calculates the SharpeRatio of a strategy using a risk free asset which is simply an interest rate See also: - https://en.wikipedia.org/wiki/Sharpe_ratio Params: - ``timeframe``: (default: ``TimeFrame.Years``) - ``compression`` (default: ``1``) Only used for sub-day timeframes to for example work on an hourly timeframe by specifying "TimeFrame.Minutes" and 60 as compression - ``riskfreerate`` (default: 0.01 -> 1%) Expressed in annual terms (see ``convertrate`` below) - ``convertrate`` (default: ``True``) Convert the ``riskfreerate`` from annual to monthly, weekly or daily rate. Sub-day conversions are not supported - ``factor`` (default: ``None``) If ``None``, the conversion factor for the riskfree rate from *annual* to the chosen timeframe will be chosen from a predefined table Days: 252, Weeks: 52, Months: 12, Years: 1 Else the specified value will be used - ``annualize`` (default: ``False``) If ``convertrate`` is ``True``, the *SharpeRatio* will be delivered in the ``timeframe`` of choice. In most occasions the SharpeRatio is delivered in annualized form. Convert the ``riskfreerate`` from annual to monthly, weekly or daily rate. Sub-day conversions are not supported - ``stddev_sample`` (default: ``False``) If this is set to ``True`` the *standard deviation* will be calculated decreasing the denominator in the mean by ``1``. This is used when calculating the *standard deviation* if it's considered that not all samples are used for the calculation. This is known as the *Bessels' correction* - ``daysfactor`` (default: ``None``) Old naming for ``factor``. If set to anything else than ``None`` and the ``timeframe`` is ``TimeFrame.Days`` it will be assumed this is old code and the value will be used - ``legacyannual`` (default: ``False``) Use the ``AnnualReturn`` return analyzer, which as the name implies only works on years - ``fund`` (default: ``None``) If ``None`` the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See ``set_fundmode`` in the broker documentation Set it to ``True`` or ``False`` for a specific behavior Methods: - get_analysis Returns a dictionary with key "sharperatio" holding the ratio timeframe) compression) riskfreerateg{Gz?)factorN) convertrateT) annualizeF) stddev_sampleF) daysfactorN) legacyannualF)fundN4 rc|jjrt|_yt |jj |jj |jj|_y)N)rrr) prr anretr rrr timereturn)selfs Y/var/www/app/trading-bot/venv/lib/python3.12/site-packages/backtrader/analyzers/sharpe.py__init__zSharpeRatio.__init__sI 66  %DJ(&&** FF..VV[["DOctt| |jjrq|jj }t |jjDcgc]}||z  c}}t|jj}||z |_ ntt|jj}|jj }d}|jjt j"k(r-|jj$|jj$}nr|jj&|jj&}nE|jj|j(vr#|j(|jj}|K|jj*rt-d|zd|z dz }n|Dcgc]}t-d|z|dz }}t/||jj0z }|r|Dcgc]}||z  } }t | } t| | |jj0} | |z } |D|jj*r.|jj2rt5j6|| z} nd} | |_ |j|jd<ycc}wcc}wcc}w#t8t:t<f$rd} YHwxYw)Ng?)avgxbessel sharperatio)superrstoprrrr r retsr ratiolistrr! get_analysisrr Daysrr RATEFACTORSrpowlenrrmathsqrt ValueError TypeErrorZeroDivisionError) r"raterretavgretdevreturnsrxlretsret_free ret_free_avgr- __class__s r#r+zSharpeRatio.stopsb k4%' 66  66&&D @1a$h@AF 1F&DJ:doo&B&B&DEFG66&&DFvv9>>1vv  ,**66==,!VV]]FVV%%)9)99!--dff.>.>?F!66%%sTz3<83>DDKKas37F3c9KGKL466#7#77E.56AH66&x0 $XL,0FF,@,@B!(61E)vv))dff.>.> $ & 1E 9 DJ#':: - wABL 7#I/@A! E!s% KK  KA KK-,K-)__name__ __module__ __qualname____doc__r Yearsparamsr0WeeksMonthsr1r$r+ __classcell__)rBs@r#rr!szM^ ioo&   F " K"?.?.r%rceZdZdZdZy) SharpeRatio_AzExtension of the SharpeRatio which returns the Sharpe Ratio directly in annualized form The following param has been changed from ``SharpeRatio`` - ``annualize`` (default: ``True``) ))rTN)rCrDrErFrHr%r#rMrMsFr%rM) __future__rrrrr4backtrader.utils.py3r backtraderrr backtrader.mathsupportr r backtrader.analyzersr r rrMrNr%r#rTs;*** +*79m.(m.` K r%