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fix bug in sharpe ratio #904

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fix bug in sharpe ratio #904

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2 changes: 1 addition & 1 deletion backtesting/_stats.py
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Original file line number Diff line number Diff line change
Expand Up @@ -118,7 +118,7 @@ def _round_timedelta(value, _period=_data_period(index)):

# Our Sharpe mismatches `empyrical.sharpe_ratio()` because they use arithmetic mean return
# and simple standard deviation
s.loc['Sharpe Ratio'] = (s.loc['Return (Ann.) [%]'] - risk_free_rate) / (s.loc['Volatility (Ann.) [%]'] or np.nan) # noqa: E501
s.loc['Sharpe Ratio'] = (s.loc['Return (Ann.) [%]'] - risk_free_rate * 100) / (s.loc['Volatility (Ann.) [%]'] or np.nan) # noqa: E501
# Our Sortino mismatches `empyrical.sortino_ratio()` because they use arithmetic mean return
s.loc['Sortino Ratio'] = (annualized_return - risk_free_rate) / (np.sqrt(np.mean(day_returns.clip(-np.inf, 0)**2)) * np.sqrt(annual_trading_days)) # noqa: E501
max_dd = -np.nan_to_num(dd.max())
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