summary.py 文件源码

def calmar_ratio(self, periods=None, r_f=0):
        periods = periods or self.__periods_per_year
        start = self.index[-1] - pd.DateOffset(years=3)
        # truncate the nav
        x = self.truncate(before=start)
        return NavSeries(x).sortino_ratio(periods=periods, r_f=r_f)