331 simple sharpe ratio in portfolio (#332)

* sharpe * sharpe
cvxgrp · Jan 23, 2024 · 53c495b · 53c495b
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diff --git a/cvx/simulator/portfolio.py b/cvx/simulator/portfolio.py
@@ -15,6 +15,7 @@
 
 from dataclasses import dataclass
 from datetime import datetime
+from math import sqrt
 from typing import Any
 
 import numpy as np
@@ -408,6 +409,11 @@ def snapshot(
 
         return fig
 
+    def sharpe(self, n=252):
+        """Simple Sharpe ratio"""
+        ts = self.nav.pct_change().dropna()
+        return ts.mean() / ts.std() * sqrt(n)
+
     @classmethod
     def from_cashpos_prices(
         cls, prices: pd.DataFrame, cashposition: pd.DataFrame, aum: float

diff --git a/tests/test_portfolio.py b/tests/test_portfolio.py
@@ -181,3 +181,5 @@ def test_profit_metrics(portfolio):
     assert portfolio.profit.std() == pytest.approx(839.8620124674756)
     assert portfolio.profit.sum() == pytest.approx(-3492.4000000000033)
     assert sharpe(portfolio.profit, n=252) == pytest.approx(-0.10965282385614909)
+    # profit is replacing NaNs with 0?!
+    assert portfolio.sharpe() == pytest.approx(-0.10210959124482079)