Risk statistics for a price or return series: Sharpe, Sortino, Calmar, max drawd...

{ "method": "GET", "queryParams": { "periods_per_year": "365", "prices": "100,102,101,105,103,108,104,110,107,112" }, "type": "http" }

{ "example": { "annualized_return_percent": 9809.785, "annualized_volatility_percent": 70.284, "best_period_percent": 5.769, "calmar_ratio": 2648.642, "cvar_95_percent": 3.704, "max_drawdown_peak_index": 5, "max_drawdown_percent": -3.704, "max_drawdown_trough_index": 6, "note": "Computed from the supplied series only (sample standard deviation, downside deviation against the risk-free rate). Value at risk is a one-period loss expressed as a positive percentage. Drawdown indexes count positions in the series, 0 being the first price.", "periods": 9, "periods_per_year": 365, "sharpe_ratio": 6.89, "sortino_ratio": 14.987, "source": "Standard portfolio performance and value-at-risk statistics", "total_return_percent": 12, "var_95_historical_percent": 3.313, "var_95_parametric_percent": 4.724, "var_99_historical_percent": 3.626, "win_rate_percent": 55.56, "worst_period_percent": -3.704 }, "type": "json" }