quant-zero/src/utils/maths/sharpeE.ts

Node-Quant is a powerful Node.js package for developing and testing quantitative trading strategies in cryptocurrency markets, offering tools for backtesting and performance analysis.

/**
 * Sharpe Ratio = E [Rp-Rf] / σp

E = Expected value of

Rp = return on a portfolio

Rf = risk-free rate

σp = standard deviation of the portfolio’s excess return
 */

export function calcSharpeE(E: number, rp: number, rf: number = 0, sp: number) {
  return (E * (rp - rf)) / sp;
}