stats_sharpe-ratio
Compute the annualized Sharpe ratio from periodic returns. Provide returns, risk-free rate, and annualization factor to obtain risk-adjusted performance metrics.
Instructions
Standalone Sharpe ratio from a returns series.
Use when computing the Sharpe ratio from a return series. Provide returns and risk-free rate. Returns: annualized Sharpe ratio, annualized return, annualized volatility, and risk-adjusted metrics.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | Array of periodic returns | |
| risk_free_rate | No | Annual risk-free rate | |
| annualization_factor | No | Trading days per year |