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Add compounded flag to calmar() and rar() #512

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Add compounded flag to calmar() and rar() #512

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11 changes: 8 additions & 3 deletions quantstats/stats.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1558,7 +1558,7 @@ def cagr(
return res


def rar(returns, rf=0.0):
def rar(returns, rf=0.0, compounded=True):
"""
Calculate the Risk-Adjusted Return (RAR).

Expand All @@ -1569,6 +1569,8 @@ def rar(returns, rf=0.0):
Args:
returns (pd.Series): Return series to analyze
rf (float): Risk-free rate (annualized, default: 0.0)
compounded (bool): Whether to compound returns (default: True).
Set to False for intraday or non-compounded return streams.

Returns:
float: Risk-adjusted return
Expand All @@ -1582,7 +1584,7 @@ def rar(returns, rf=0.0):
returns = _utils._prepare_returns(returns, rf)

# Calculate CAGR and divide by exposure time
return cagr(returns) / exposure(returns)
return cagr(returns, compounded=compounded) / exposure(returns)


def skew(returns, prepare_returns=True):
Expand Down Expand Up @@ -1642,6 +1644,7 @@ def kurtosis(returns, prepare_returns=True):
def calmar(
returns: Returns,
prepare_returns: bool = True,
compounded: bool = True,
periods: int = 252,
) -> float:
"""
Expand All @@ -1654,6 +1657,8 @@ def calmar(
Args:
returns (pd.Series): Return series to analyze
prepare_returns (bool): Whether to prepare returns first (default: True)
compounded (bool): Whether to compound returns (default: True).
Set to False for intraday or non-compounded return streams.
periods (int): Periods per year for annualization (default: 252)

Returns:
Expand All @@ -1670,7 +1675,7 @@ def calmar(
returns = _utils._prepare_returns(returns)

# Calculate CAGR and maximum drawdown
cagr_ratio = cagr(returns, periods=periods)
cagr_ratio = cagr(returns, compounded=compounded, periods=periods)
max_dd = max_drawdown(returns)

# Return ratio of CAGR to absolute maximum drawdown
Expand Down