夏普·索提诺
analysis_sharpeCompute Sharpe and Sortino ratios from Binance futures K-lines, converting price data into annualized return and volatility. Assess risk-adjusted performance of an asset's price series.
Instructions
直连版:拉取 K 线推导标的收益率序列,计算年化收益/波动、夏普与索提诺。度量对象为标的价格序列的风险特征(非账户绩效);periodPerYear 缺省按 interval 自动推断(1h→8760、1d→365);严肃评估建议使用 1d×365 及以上大窗口(小窗口年化统计意义有限)。
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| limit | No | ||
| symbol | Yes | ||
| interval | Yes | ||
| riskFreeRate | No | 单周期无风险利率(小数,如 0.0001 = 0.01%),默认 0 | |
| periodPerYear | No | 年化系数(每年 K 线根数),缺省按 interval 自动推断 |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| sharpe | Yes | ||
| sortino | Yes | ||
| sampleCount | Yes | ||
| annualReturn | Yes | ||
| periodPerYear | Yes | ||
| annualVolatility | Yes |