quantitivecalc/dist/RiskAndVolatilityAnalysis/calculateSharpeRatio.d.ts

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

/**
 * Calculates the rolling Sharpe ratio for a given dataset.
 *
 * The Sharpe ratio is computed over a moving window of specified size, using the provided returns column.
 * The result is stored in a new column for each row, with `null` for rows where there is insufficient data.
 *
 * @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 Sharpe ratio in each data object.
 * @param windowSize - The number of periods to use for the rolling window (default: 252, typical for daily data over one year).
 * @param riskFreeRate - The annual risk-free rate to use in the calculation (default: 0.02, or 2%).
 * @returns A new array of data objects with the Sharpe ratio added to each row under `resultColumn`.
 *
 * @remarks
 * - The Sharpe ratio is annualized by multiplying by `sqrt(252)`.
 * - If there is insufficient data in the window, the result is `null` for that row.
 * - Assumes daily data; adjust `windowSize` and risk-free rate conversion for other frequencies.
 */
export declare function calculateSharpeRatio(data: Array<Record<string, unknown>>, returnsColumn: string, resultColumn: string, windowSize?: number, // 1 year for daily data
riskFreeRate?: number): Array<Record<string, unknown>>;
//# sourceMappingURL=calculateSharpeRatio.d.ts.map