bluebot/core/stats.js

A bitcoin trading bot for auto trading at various exchanges

const stats = require('stats-lite');
const lodash = require('lodash');




// sharpe ratio
//
// @param returns (array - list of returns)
// @param rfreturn (number - risk free return)
// 
stats.sharpe = (returns, rfreturn) => {
  return stats.mean(returns) - rfreturn / stats.stdev(returns);
}

module.exports = stats;