risk.py 文件源码

def information_ratio(algorithm_returns, benchmark_returns):
    """
    http://en.wikipedia.org/wiki/Information_ratio

    Args:
        algorithm_returns (np.array-like):
            All returns during algorithm lifetime.
        benchmark_returns (np.array-like):
            All benchmark returns during algo lifetime.

    Returns:
        float. Information ratio.
    """
    relative_returns = algorithm_returns - benchmark_returns

    relative_deviation = relative_returns.std(ddof=1)

    if zp_math.tolerant_equals(relative_deviation, 0) or \
       np.isnan(relative_deviation):
        return 0.0

    return np.mean(relative_returns) / relative_deviation