calmar_ratio

qf_lib.common.utils.ratios.calmar_ratio.calmar_ratio(qf_series: qf_lib.containers.series.qf_series.QFSeries, frequency: qf_lib.common.enums.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

calmar ratio

Return type

float