From 9493ed833ccac5cb55074adca5d0ed77264b0c3a Mon Sep 17 00:00:00 2001 From: Ran Aroussi Date: Sun, 12 Jun 2022 17:31:55 +0100 Subject: [PATCH] Fixed `sigma_sr` in `probabilistic_ratio` --- quantstats/stats.py | 5 +++-- 1 file changed, 3 insertions(+), 2 deletions(-) diff --git a/quantstats/stats.py b/quantstats/stats.py index 9e654c69..51274bcb 100644 --- a/quantstats/stats.py +++ b/quantstats/stats.py @@ -403,8 +403,9 @@ def probabilistic_ratio(series, rf=0., base="sharpe", periods=252, annualize=Fal n = len(series) - sigma_sr = ((1/(n-1)) * (1 + 0.5 * base**2 + - skew_no * base + (kurtosis_no/4) * base**2)) ** 0.5 + sigma_sr = _np.sqrt((1 + (0.5 * base ** 2) - (skew_no * base) + + (((kurtosis_no - 3) / 4) * base ** 2)) / (n - 1)) + ratio = (base - rf) / sigma_sr psr = _norm.cdf(ratio)