# Copyright 2016-present CERN – European Organization for Nuclear Research
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# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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# http://www.apache.org/licenses/LICENSE-2.0
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import numpy as np
from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.utils.returns.cagr import cagr
from qf_lib.common.utils.volatility.get_volatility import get_volatility
from qf_lib.containers.series.qf_series import QFSeries
[docs]def sharpe_ratio(qf_series: QFSeries, frequency: Frequency, risk_free: float = 0) -> float:
"""
Calculates the Sharpe Ratio for a given timeseries of returns and given frequency.
Parameters
----------
qf_series: QFSeries
financial series
frequency: Frequency
frequency of the series
risk_free: float
risk free rate
Returns
-------
float
Sharpe Ratio for given series and frequency
"""
annual_simple_return = cagr(qf_series, frequency)
annual_log_return = np.log(annual_simple_return + 1)
annual_vol = get_volatility(qf_series, frequency, annualise=True)
return (annual_log_return - risk_free) / annual_vol