Merge pull request #456 from ranaroussi/fix-issue-455

Add periods parameter to calmar() function (fixes #455)

Author: ranaroussi

CHANGELOG.md

@@ -1,6 +1,12 @@
 Changelog
 ===========
 
+0.0.69
+------
+
+- Added `periods` parameter to `calmar()` function to support custom annualization periods (fixes issue #455)
+- Updated reports.py to pass periods parameter to Calmar ratio calculation for consistency with other metrics
+
 0.0.68
 ------
 

quantstats/reports.py

@@ -1301,7 +1301,7 @@ def metrics(
                 metrics["Volatility (ann.) %"] = ret_vol
 
         # Additional risk and return metrics
-        metrics["Calmar"] = _stats.calmar(df, prepare_returns=False)
+        metrics["Calmar"] = _stats.calmar(df, prepare_returns=False, periods=win_year)
         metrics["Skew"] = _stats.skew(df, prepare_returns=False)
         metrics["Kurtosis"] = _stats.kurtosis(df, prepare_returns=False)
 

quantstats/stats.py

@@ -1492,7 +1492,7 @@ def kurtosis(returns, prepare_returns=True):
     return returns.kurtosis()
 
 
-def calmar(returns, prepare_returns=True):
+def calmar(returns, prepare_returns=True, periods=252):
     """
     Calculate the Calmar ratio (CAGR / Maximum Drawdown).
 
@@ -1503,6 +1503,7 @@ def calmar(returns, prepare_returns=True):
     Args:
         returns (pd.Series): Return series to analyze
         prepare_returns (bool): Whether to prepare returns first (default: True)
+        periods (int): Periods per year for annualization (default: 252)
 
     Returns:
         float: Calmar ratio
@@ -1518,7 +1519,7 @@ def calmar(returns, prepare_returns=True):
         returns = _utils._prepare_returns(returns)
 
     # Calculate CAGR and maximum drawdown
-    cagr_ratio = cagr(returns)
+    cagr_ratio = cagr(returns, periods=periods)
     max_dd = max_drawdown(returns)
 
     # Return ratio of CAGR to absolute maximum drawdown

quantstats/version.py

@@ -1 +1 @@
-version = "0.0.68"
+version = "0.0.69"