gain_to_pain_ratio

qf_lib.common.utils.ratios.gain_to_pain_ratio.gain_to_pain_ratio(qf_series: qf_lib.containers.series.qf_series.QFSeries) → float

Calculates the gain to pain ratio for a given timeseries of returns. gain_to_pain_ratio is calculated for monthly returns gain_to_pain_ratio = sum(all returns) / abs(sum(negative returns)

Parameters

qf_series (QFSeries) – financial series

Returns

< 0 is bad > 1 is good > 1.5 is exceptionally good

Return type

float