egutierrez
113c6dfd71
11 funciones puras con implementación real: SMA, EMA, RSI, BollingerBands, VWAP, LogReturn, AnnualizedVolatility, SharpeRatio, MaxDrawdown, NormalizeOHLCV, TickToOHLCV 4 funciones impuras (stubs): FetchOHLCV, StreamTicks, WriteOHLCVToParquet, LoadOHLCVFromDuckDB Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
30 lines
756 B
Go
30 lines
756 B
Go
package finance
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import "math"
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// SharpeRatio calcula el ratio de Sharpe.
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// riskFreeRate es la tasa libre de riesgo por periodo.
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// periodsPerYear indica cuantos periodos hay en un anio (e.g. 252 para diario).
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// Formula: (mean(returns) - riskFreeRate) / stddev(returns) * sqrt(periodsPerYear)
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func SharpeRatio(returns []float64, riskFreeRate float64, periodsPerYear float64) float64 {
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n := len(returns)
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if n < 2 {
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return 0
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}
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var sum float64
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for _, r := range returns {
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sum += r
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}
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mean := sum / float64(n)
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var variance float64
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for _, r := range returns {
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diff := r - mean
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variance += diff * diff
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}
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std := math.Sqrt(variance / float64(n-1))
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if std == 0 {
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return 0
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}
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return (mean - riskFreeRate) / std * math.Sqrt(periodsPerYear)
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}
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