calculate_sharpe_at_timestamps#

API documentation for tradeexecutor.visual.grid_search_advanced.calculate_sharpe_at_timestamps Python function.

calculate_sharpe_at_timestamps(index, lookback, returns, days_in_year=365, risk_free_rate=0)[source]#

Calculate rolling sharpe at certain points of time.

Parameters:

  • index (DatetimeIndex) –

  • lookback (Timedelta) –

  • returns (Series) –

Return type:

Series