0.9.57 新增最大夏普计算

waditu · Jul 27, 2024 · eb7b8ba · eb7b8ba
1 parent 4db0c34
commit eb7b8ba
Showing 1 changed file with 3 additions and 0 deletions.
diff --git a/czsc/utils/portfolio.py b/czsc/utils/portfolio.py
@@ -29,6 +29,9 @@ def max_sharp(df, weight_bounds=(0, 1), **kwargs):
     from czsc.utils.stats import daily_performance
 
     logger = kwargs.get("logger", loguru.logger)
+    df = df.copy()
+    if 'dt' in df.columns:
+        df = df.set_index('dt')
 
     mu = expected_returns.mean_historical_return(df, returns_data=True)
     S = risk_models.risk_matrix(df, returns_data=True, method="sample_cov")