"""Reusable performance metrics for portfolio equity curves."""
from __future__ import annotations
import math
from typing import Dict, Optional
import pandas as pd
def compute_performance_metrics(
series: pd.Series,
*,
risk_free_rate: float = 0.02,
) -> Dict[str, Optional[float]]:
base = {
"total_return": None,
"annualized_return": None,
"annualized_vol": None,
"sharpe": None,
"max_drawdown": None,
}
if series is None:
return base
series = series.dropna()
if series.empty:
return base
returns = series.pct_change().dropna()
if returns.empty:
return base
total_return = series.iloc[-1] / series.iloc[0] - 1
annualized_return = (1 + total_return) ** (252 / len(returns)) - 1 if len(returns) > 0 else None
vol_daily = returns.std()
annualized_vol = vol_daily * math.sqrt(252) if not pd.isna(vol_daily) else None
sharpe = None
if annualized_vol and annualized_vol != 0:
sharpe = ((returns.mean() * 252) - risk_free_rate) / annualized_vol
cumulative = (1 + returns).cumprod()
running_max = cumulative.cummax()
drawdown = cumulative / running_max - 1
max_drawdown = drawdown.min() if not drawdown.empty else None
return {
"total_return": round(total_return * 100, 2),
"annualized_return": round(annualized_return * 100, 2) if annualized_return is not None else None,
"annualized_vol": round(annualized_vol * 100, 2) if annualized_vol is not None else None,
"sharpe": round(sharpe, 2) if sharpe is not None else None,
"max_drawdown": round(max_drawdown * 100, 2) if max_drawdown is not None else None,
}
