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759
760 # if isinstance(returns, _pd.DataFrame):
761 # if len(returns.columns) > 1:
762 # raise ValueError("`returns` needs to be a Pandas Series or one column DataFrame. multi colums DataFrame was passed") 763 # returns = returns[returns.columns[0]]
764
765 if prepare_returns:
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846 )
847 if mode.lower() == "full":
848 metrics["Smart Sharpe"] = _stats.smart_sharpe(df, rf, win_year, True)
849 # metrics['Prob. Smart Sharpe Ratio %'] = _stats.probabilistic_sharpe_ratio(df, rf, win_year, False, True) * pct 850
851 metrics["Sortino"] = _stats.sortino(df, rf, win_year, True)
852 if mode.lower() == "full":
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850
851 metrics["Sortino"] = _stats.sortino(df, rf, win_year, True)
852 if mode.lower() == "full":
853 # metrics['Prob. Sortino Ratio %'] = _stats.probabilistic_sortino_ratio(df, rf, win_year, False) * pct 854 metrics["Smart Sortino"] = _stats.smart_sortino(df, rf, win_year, True)
855 # metrics['Prob. Smart Sortino Ratio %'] = _stats.probabilistic_sortino_ratio(df, rf, win_year, False, True) * pct
856
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852 if mode.lower() == "full":
853 # metrics['Prob. Sortino Ratio %'] = _stats.probabilistic_sortino_ratio(df, rf, win_year, False) * pct
854 metrics["Smart Sortino"] = _stats.smart_sortino(df, rf, win_year, True)
855 # metrics['Prob. Smart Sortino Ratio %'] = _stats.probabilistic_sortino_ratio(df, rf, win_year, False, True) * pct 856
857 metrics["Sortino/√2"] = metrics["Sortino"] / _sqrt(2)
858 if mode.lower() == "full":
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856
857 metrics["Sortino/√2"] = metrics["Sortino"] / _sqrt(2)
858 if mode.lower() == "full":
859 # metrics['Prob. Sortino/√2 Ratio %'] = _stats.probabilistic_adjusted_sortino_ratio(df, rf, win_year, False) * pct 860 metrics["Smart Sortino/√2"] = metrics["Smart Sortino"] / _sqrt(2)
861 # metrics['Prob. Smart Sortino/√2 Ratio %'] = _stats.probabilistic_adjusted_sortino_ratio(df, rf, win_year, False, True) * pct
862 metrics["Omega"] = _stats.omega(df, rf, 0.0, win_year)
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858 if mode.lower() == "full":
859 # metrics['Prob. Sortino/√2 Ratio %'] = _stats.probabilistic_adjusted_sortino_ratio(df, rf, win_year, False) * pct
860 metrics["Smart Sortino/√2"] = metrics["Smart Sortino"] / _sqrt(2)
861 # metrics['Prob. Smart Sortino/√2 Ratio %'] = _stats.probabilistic_adjusted_sortino_ratio(df, rf, win_year, False, True) * pct 862 metrics["Omega"] = _stats.omega(df, rf, 0.0, win_year)
863
864 metrics["~~~~~~~~"] = blank
Description
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