quantitivecalc
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A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)
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TypeScript
/**
* Calculates the Sortino Ratio for a rolling window over a dataset.
*
* The Sortino Ratio measures risk-adjusted return, penalizing only downside volatility.
* It is computed as: (Mean Return - Target Return) / Downside Deviation (annualized).
*
* @param data - Array of data objects containing return values.
* @param returnsColumn - The key in each data object representing the return value.
* @param resultColumn - The key to store the calculated Sortino Ratio in each result object.
* @param windowSize - Number of periods in the rolling window (default: 252).
* @param riskFreeRate - Annual risk-free rate used as the default target return (default: 0.02).
* @param targetReturn - Optional annual target return. If null, uses risk-free rate.
* @returns Array of data objects with the Sortino Ratio added in the specified result column.
*/
export declare function calculateSortinoRatio(data: Array<Record<string, unknown>>, returnsColumn: string, resultColumn: string, windowSize?: number, riskFreeRate?: number, targetReturn?: number | null): Array<Record<string, unknown>>;
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