update:roi/risk/cp

web/robo_controller.py

@@ -9,7 +9,7 @@ import pandas as pd
 import uvicorn
 from apscheduler.schedulers.asyncio import AsyncIOScheduler
 from apscheduler.triggers.date import DateTrigger
-from empyrical import sharpe_ratio, annual_volatility
+from empyrical import sharpe_ratio, annual_volatility, annual_return
 from fastapi import FastAPI, Request
 from py_jftech import prev_workday, filter_weekend, autowired, next_workday, sendmail, format_date, get_config
 from starlette.responses import JSONResponse
@@ -68,9 +68,9 @@ def load_report(max_date=prev_workday(dt.date.today()), min_date=None, combo: Ro
     datas.set_index('date', inplace=True)
     datas = datas['acc_av']
     returns = round(datas.pct_change(), 5)
-    cp = round(sharpe_ratio(returns, risk_free=0, period='daily', annualization=None), 2)
-    roi = round(annual_volatility(datas), 1)
-    risk = round(pstdev(datas), 1)
+    roi = round(annual_return(returns), 1)
+    risk = round(annual_volatility(returns), 1)
+    cp = roi / risk
     return cp, roi, risk