Rolling
Bases: Object
Rolling window functions
beta(
performance_points: SortedList[datetime, float],
benchmark_points: SortedList[datetime, float],
window_size: int = 132,
) -> Any
Calculate the rolling beta with the given window size (in days)
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
performance_points
|
SortedList[datetime, float]
|
The performance points you want to measure beta for |
required |
benchmark_points
|
SortedList[datetime, float]
|
The benchmark/points you want to calculate beta with |
required |
window_size
|
int
|
Days/window to lookback |
132
|
Returns:
| Type | Description |
|---|---|
Any
|
Rolling beta. |
sharpe(
equity_curve: Any,
months: int,
trading_day_per_year: int,
) -> Any
Get the rolling sharpe of the given series with a lookback of months. The risk free rate is adjustable
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
equity_curve
|
Any
|
Equity curve to calculate rolling sharpe for |
required |
months
|
int
|
Number of months to calculate the rolling period for |
required |
trading_day_per_year
|
int
|
The number of trading days per year to increase result of Annual statistics |
required |
Returns:
| Type | Description |
|---|---|
Any
|
Rolling sharpe ratio. |