util_calmar
Compute the Calmar Ratio to assess risk-adjusted returns by dividing annualized return by maximum drawdown using return or equity data.
Instructions
计算卡尔玛比率 (Calmar Ratio) = 年化收益率 / 最大回撤
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | 收益率数组(如日收益率序列) | |
| equity | Yes | 净值/价格序列 | |
| riskFreeRate | No | 无风险利率 |