risk_sharpe
Compute Sharpe and Sortino ratios from daily return series to evaluate risk-adjusted performance with optional risk-free rate.
Instructions
夏普比率(Sharpe Ratio)+ 索提诺比率(Sortino Ratio):衡量风险调整后收益。Sharpe = (年化收益-无风险利率)/年化波动率,Sortino 仅使用下行波动率。返回年化收益、年化波动率、下行波动率等完整数据
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | 收益率序列(日收益率)/ Daily return series | |
| riskFreeRate | No | 年化无风险利率(默认 0) |