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twopirllc / pandas-ta

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Sortino ratio of 4,000?

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dorienh
dorienh commented Apr 12, 2021

This may just be a problem with data, but I am getting blown up sortino ratios. I thought they had to be much smaller.

For instance:

import yfinance as yf 

msft = yf.Ticker("ETH-USD")

def getSortino(h, p):
  sh = []
  for i in range(0, len(h)):
    if i > p:
      a = h['Close'].iloc[i-p:i]
      sh.append(ta.sortino_ratio(a))
    else: sh.append(0)

  return sh
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