Function sharpe_ratio

crates/openquant/src/backtest_statistics.rs:172–178

(returns: &[f64], entries_per_year: f64, risk_free_rate: f64)

}

pub fn sharpe_ratio(returns: &[f64], entries_per_year: f64, risk_free_rate: f64) -> f64 {
    let mean = returns.iter().sum::<f64>() / returns.len() as f64;
    let var =
        returns.iter().map(|r| (r - mean).powi(2)).sum::<f64>() / (returns.len() as f64 - 1.0);
    let std = var.sqrt();
    ((mean - risk_free_rate) / std) * entries_per_year.sqrt()
}

pub fn information_ratio(returns: &[f64], benchmark: f64, entries_per_year: f64) -> f64 {
    let excess: Vec<f64> = returns.iter().map(|r| r - benchmark).collect();