Calculate Rolling Sharpe Ratio

Calculate a rolling (moving window) Sharpe ratio.

Usage

calc_rolling_sharpe(
  returns,
  window = 20,
  rf_rate = 0,
  periods = 252,
  min_periods = NULL
)

Arguments

returns

Numeric vector of returns

window

Window size for rolling calculation

rf_rate

Risk-free rate (default: 0)

periods

Number of periods per year (default: 252)

min_periods

Minimum periods required for calculation (default: window)

Value

Numeric vector of rolling Sharpe ratios

Examples

if (FALSE) { # \dontrun{
returns <- rnorm(100, 0.001, 0.02)
rolling_sharpe <- calc_rolling_sharpe(returns, window = 20)
} # }