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https://github.com/wassname/rl-portfolio-management.git
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Mike Clark
29 lines
687 B
Python
29 lines
687 B
Python
import numpy as np
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from .config import eps
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def sharpe(returns, freq=30, rfr=0.0):
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"""Given a set of returns, calculates naive (rfr=0) sharpe (eq 28) """
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return (np.sqrt(freq) * np.mean(returns - rfr)) / (np.std(returns - rfr) + eps)
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def MDD(X):
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"""By nicktids, see issue 15."""
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mdd = 0
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peak = X[0]
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for x in X:
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if x > peak:
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peak = x
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dd = (peak - x) / peak
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if dd > mdd:
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mdd = dd
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return mdd
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def softmax(w, t=1.0):
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"""softmax implemented in numpy."""
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log_eps = np.log(eps)
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w = np.clip(w, log_eps, -log_eps) # avoid inf/nan
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e = np.exp(np.array(w) / t)
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dist = e / np.sum(e)
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return dist
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