sharpe_ratio.js

function sharpeRatio(array, interest = 0) {
  if (array.length < 3) return { mean: 0, sd: 0, sharpeRatio: 0 };
  let mean = 0, sqsum = 0, l = array.length;
  for (let n = 1; n < l; n++) {
    const changeRate = (array[n] - array[n - 1]) / array[n - 1];
    const x = changeRate - mean;
    mean += x / n;
    sqsum += (n - 1) * x * x / n;
  }
  const sd = Math.sqrt(sqsum / (l - 1));
  const sharpeRatio = (mean - interest) / sd;
  return { mean, sd, sharpeRatio };
}