# Copyright 2016-present CERN – European Organization for Nuclear Research
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# Licensed under the Apache License, Version 2.0 (the "License");
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# http://www.apache.org/licenses/LICENSE-2.0
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from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.utils.returns.cagr import cagr
from qf_lib.common.utils.returns.max_drawdown import max_drawdown
from qf_lib.containers.series.qf_series import QFSeries
[docs]def calmar_ratio(qf_series: QFSeries, frequency: Frequency) -> float:
"""
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
-------
float
calmar ratio
"""
annualised_growth_rate = cagr(qf_series, frequency)
max_dd = max_drawdown(qf_series)
ratio = annualised_growth_rate / max_dd
return ratio