feat(metrics): Sharpe + max drawdown + total return
Metriche base per valutazione strategie: Sharpe annualizzato (default 8760 periodi/anno per dati orari), max drawdown percentuale dalla curva equity, total return cumulativo. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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from __future__ import annotations
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import numpy as np
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import pandas as pd # type: ignore[import-untyped]
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def sharpe_ratio(returns: pd.Series, periods_per_year: int = 8760, rf: float = 0.0) -> float:
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"""Sharpe annualizzato. periods_per_year=8760 per dati orari."""
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excess = returns - rf / periods_per_year
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std = excess.std(ddof=1)
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if std == 0 or np.isnan(std):
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return 0.0
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return float(np.sqrt(periods_per_year) * excess.mean() / std)
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def max_drawdown(equity: pd.Series) -> float:
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"""Max drawdown percentuale (positivo)."""
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peak = equity.cummax()
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dd = (peak - equity) / peak.replace(0, np.nan)
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dd = dd.fillna(0.0)
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return float(dd.max())
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def total_return(equity: pd.Series) -> float:
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if equity.iloc[0] == 0:
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return float(equity.iloc[-1])
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return float(equity.iloc[-1] / equity.iloc[0] - 1.0)
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