샤프비율

import FinanceDataReader as fdr
df = fdr.DataReader('AAPL', '2000')
df

 

start_date = '2021-02-04'
end_date = '2022-03-03'
tmp_df = df.loc[start_date:end_date]
tmp_df

tmp_df['daily_rtn'] = tmp_df['Close'].pct_change()
tmp_df

import numpy as np
VOL = np.std(tmp_df['daily_rtn']) * np.sqrt(252.0)
VOL

결과출력 :

np.float64(0.2467837803080943)

SHARP = np.mean(tmp_df['daily_rtn']) / VOL
SHARP

결과출력:

np.float64(0.0033381487604064093)