numeraire.core.evaluators.SharpeEvaluator#

class numeraire.core.evaluators.SharpeEvaluator(periods_per_year: int = 12)[source]#

Bases: object

Annualized Sharpe ratio of the realized strategy returns (the timing headline).

__init__(periods_per_year: int = 12) None[source]#

Methods

__init__([periods_per_year])

evaluate(oos_output)

Attributes

requires