Calmar Ratio

Problem

Compute the Calmar ratio as total_return / abs(max_drawdown), a return measure scaled by the worst peak-to-trough loss.

Return 0.0 when max_drawdown is 0.

Hint

Only the magnitude of the drawdown matters, not its sign convention.

case 1

in: [0.5,0.25]

expected: 2

case 2

in: [0.3,0]

expected: 0

case 3

in: [-0.1,0.2]

expected: -0.5

case 4

in: [0.4,-0.2]

expected: 2

Starter codePython

def calmar_ratio(total_return, max_drawdown):
    # Your code here
    pass

4 test cases · run your code against them in the editor