Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

fix bug in sharpe ratio #904

Merged
merged 2 commits into from
Jan 21, 2025
Merged

fix bug in sharpe ratio #904

merged 2 commits into from
Jan 21, 2025

Conversation

tani3010
Copy link
Contributor

@tani3010 tani3010 commented Feb 8, 2023

risk free rate should be adjusted by 100 in sharpe ratio calculation because other parts in the formula are already multiplied by 100

aliencaocao added a commit to aliencaocao/backtesting.py that referenced this pull request Jul 2, 2023
@kernc kernc force-pushed the master branch 5 times, most recently from 428c361 to 0ce6cab Compare January 21, 2025 07:25
@kernc
Copy link
Owner

kernc commented Jan 21, 2025

The reason this wasn't discovered sooner, or that the tests still pass, is that risk_free_rate by default is 0. 🤓

Thanks!

@kernc kernc merged commit 126953f into kernc:master Jan 21, 2025
4 checks passed
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

2 participants