calmar_ratio

qf_lib.common.utils.ratios.calmar_ratio.calmar_ratio(qf_series: QFSeries, frequency: Frequency) → float[source]

Calculates the Calmar ratio for a given timeseries of returns. calmar_ratio = CAGR / max drawdown

Parameters:

  • qf_series (QFSeries) – financial series

  • frequency (Frequency) – frequency of qf_series

Returns:

calmar ratio

Return type:

float