R/sharpe.R

In vandomed/stocks: Stock Market Analysis

#' Sharpe Ratio
#'
#' Calculates Sharpe ratio from vector of gains or prices. The formula is:
#' \code{(mean(gains) - rf) / sd(gains)}, where \code{rf} is some risk-free rate
#' of return.
#'
#'
#' @param gains Numeric vector of gains.
#' @param prices Numeric vector of prices.
#' @param rf Numeric value.
#'
#'
#' @return
#' Numeric value.
#'
#'
#' @examples
#' # Simulate daily gains over a 5-year period
#' set.seed(123)
#' stock.gains <- rnorm(252 * 5, 0.0005, 0.01)
#'
#' # Calculate Sharpe ratio using risk-free return of 0
#' sharpe(stock.gains)
#'
#'
#' @export
sharpe <- function(gains = NULL,
                   prices = NULL,
                   rf = 0) {

  if (! is.null(gains)) {
    return((mean(gains) - rf) / sd(gains))
  }
  gains <- prices_gains(prices)
  return((mean(gains) - rf) / sd(gains))

}