skfolio.measures.RatioMeasure

class skfolio.measures.RatioMeasure(*values)

Enumeration of ratio measures.

Attributes:

SHARPE_RATIOstr

Ratio of the excess Mean divided by the Standard-deviation.

ANNUALIZED_SHARPE_RATIOstr

Annualized Sharpe ratio.

SORTINO_RATIOstr

Ratio of the excess Mean divided by the Semi standard-deviation.

ANNUALIZED_SORTINO_RATIOstr

Annualized Sortino ratio.

MEAN_ABSOLUTE_DEVIATION_RATIOstr

Ratio of the excess Mean divided by the Mean Absolute Deviation.

FIRST_LOWER_PARTIAL_MOMENT_RATIOstr

Ratio of the excess Mean divided by the First Lower Partial Moment.

VALUE_AT_RISK_RATIOstr

Ratio of the excess Mean divided by the Value at Risk.

CVAR_RATIOstr

Ratio of the excess Mean divided by the Conditional Value at Risk.

ENTROPIC_RISK_MEASURE_RATIOstr

Ratio of the excess Mean divided by the Entropic Risk Measure.

EVAR_RATIOstr

Ratio of the excess Mean divided by the Entropic Value at Risk.

WORST_REALIZATION_RATIOstr

Ratio of the excess Mean divided by the Worst Realization.

DRAWDOWN_AT_RISK_RATIOstr

Ratio of the excess Mean divided by the Drawdown at Risk.

CDAR_RATIOstr

Ratio of the excess Mean divided by the Conditional Drawdown at Risk.

CALMAR_RATIOstr

Ratio of the excess Mean divided by the Maximum Drawdown.

AVERAGE_DRAWDOWN_RATIOstr

Ratio of the excess Mean divided by the Average Drawdown.

EDAR_RATIOstr

Ratio of the excess Mean divided by the Entropic Drawdown at Risk.

ULCER_INDEX_RATIOstr

Ratio of the excess Mean divided by the Ulcer Index.

GINI_MEAN_DIFFERENCE_RATIOstr

Ratio of the excess Mean divided by the Gini Mean Difference.

Methods

capitalize(/)	Return a capitalized version of the string.
casefold(/)	Return a version of the string suitable for caseless comparisons.
center(width[, fillchar])	Return a centered string of length width.
count
encode(/[, encoding, errors])	Encode the string using the codec registered for encoding.
endswith
expandtabs(/[, tabsize])	Return a copy where all tab characters are expanded using spaces.
find
format(*args, **kwargs)	Return a formatted version of the string, using substitutions from args and kwargs.
format_map(mapping, /)	Return a formatted version of the string, using substitutions from mapping.
index
isalnum(/)	Return True if the string is an alpha-numeric string, False otherwise.
isalpha(/)	Return True if the string is an alphabetic string, False otherwise.
isascii(/)	Return True if all characters in the string are ASCII, False otherwise.
isdecimal(/)	Return True if the string is a decimal string, False otherwise.
isdigit(/)	Return True if the string is a digit string, False otherwise.
isidentifier(/)	Return True if the string is a valid Python identifier, False otherwise.
islower(/)	Return True if the string is a lowercase string, False otherwise.
isnumeric(/)	Return True if the string is a numeric string, False otherwise.
isprintable(/)	Return True if all characters in the string are printable, False otherwise.
isspace(/)	Return True if the string is a whitespace string, False otherwise.
istitle(/)	Return True if the string is a title-cased string, False otherwise.
isupper(/)	Return True if the string is an uppercase string, False otherwise.
join(iterable, /)	Concatenate any number of strings.
ljust(width[, fillchar])	Return a left-justified string of length width.
lower(/)	Return a copy of the string converted to lowercase.
lstrip([chars])	Return a copy of the string with leading whitespace removed.
maketrans
partition(sep, /)	Partition the string into three parts using the given separator.
removeprefix(prefix, /)	Return a str with the given prefix string removed if present.
removesuffix(suffix, /)	Return a str with the given suffix string removed if present.
replace(old, new, /[, count])	Return a copy with all occurrences of substring old replaced by new.
rfind
rindex
rjust(width[, fillchar])	Return a right-justified string of length width.
rpartition(sep, /)	Partition the string into three parts using the given separator.
rsplit(/[, sep, maxsplit])	Return a list of the substrings in the string, using sep as the separator string.
rstrip([chars])	Return a copy of the string with trailing whitespace removed.
split(/[, sep, maxsplit])	Return a list of the substrings in the string, using sep as the separator string.
splitlines(/[, keepends])	Return a list of the lines in the string, breaking at line boundaries.
startswith
strip([chars])	Return a copy of the string with leading and trailing whitespace removed.
swapcase(/)	Convert uppercase characters to lowercase and lowercase characters to uppercase.
title(/)	Return a version of the string where each word is titlecased.
translate(table, /)	Replace each character in the string using the given translation table.
upper(/)	Return a copy of the string converted to uppercase.
zfill(width, /)	Pad a numeric string with zeros on the left, to fill a field of the given width.

classmethod has(value)

Check if a value is in the Enum.

Parameters:

valuestr

Input value.

Returns:

xbool

True if the value is in the Enum, False otherwise.