统计模型应用--表现和风险评估

def annualised_sharpe(returns, N=252):
    return np.sqrt(N) * returns.mean()/returns.std()
def equity_sharpe(ticker,start, end):
    pdf = web.DataReader(ticker, 'quandl', start, end).sort_index()
    pdf['daily_ret'] = pdf['Close'].pct_change()
    pdf['excess_daily_ret'] = pdf['daily_ret'] - 0.05/252
    return annualised_sharpe(pdf['excess_daily_ret'])

　　

 

转载于:https://www.cnblogs.com/kuku0223/p/11065085.html