Rolling Sharpe

Problem

Compute the rolling Sharpe ratio with window size k: window_mean / window_std, using the population standard deviation.

Return an empty list if k is not positive or exceeds the series; windows with near zero standard deviation (below 1e-12) produce 0.0.

Hint

The ratio is not annualized; it is the raw reward per unit of risk in the window.

case 1

in: [[0.02,0.01,0.03,-0.01],2]

expected: [3,2,0.4999999999999999]

case 2

in: [[0.1,0.2,0.3],3]

expected: [2.4494897427831783]

case 3

in: [[0,0,0],2]

expected: [0,0]

case 4

in: [[0.05,0.05,0.05],3]

expected: [0]

Starter codePython

def rolling_sharpe(returns, k):
    # Your code here
    pass

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