Added Treynor ratio

CHANGELOG.rst

@@ -1,6 +1,10 @@
 Change Log
 ===========
 
+0.0.52
+------
+- Added Treynor ratio
+
 0.0.51
 ------
 - Added max consecutive wins/losses to full report

quantstats/__init__.py

@@ -99,6 +99,7 @@ def extend_pandas():
     _po.monthly_returns = stats.monthly_returns
     _po.pct_rank = stats.pct_rank
 
+    _po.treynor_ratio = stats.treynor_ratio
     _po.probabilistic_sharpe_ratio = stats.probabilistic_sharpe_ratio
     _po.probabilistic_sortino_ratio = stats.probabilistic_sortino_ratio
     _po.probabilistic_adjusted_sortino_ratio = stats.probabilistic_adjusted_sortino_ratio

quantstats/reports.py

@@ -561,6 +561,7 @@ def metrics(returns, benchmark=None, rf=0., display=True,
             metrics['Beta'] = [str(round(greeks['beta'], 2)), '-']
             metrics['Alpha'] = [str(round(greeks['alpha'], 2)), '-']
             metrics['Correlation'] = [str(round(df['benchmark'].corr(df['returns']) * pct, 2))+'%', '-']
+            metrics['Treynor Ratio'] = [str(round(_stats.treynor_ratio(df['returns'], df['benchmark'], win_year, rf)*pct, 2))+'%', '-']
 
     # prepare for display
     for col in metrics.columns:

quantstats/stats.py

@@ -428,6 +428,24 @@ def probabilistic_adjusted_sortino_ratio(series, rf=0., periods=252, annualize=F
                                annualize=annualize, smart=smart)
 
 
+def treynor_ratio(returns, benchmark, periods=252., rf=0.):
+    """
+    Calculates the Treynor ratio
+
+    Args:
+        * returns (Series, DataFrame): Input return series
+        * benchmatk (String, Series, DataFrame): Benchmark to compare beta to
+        * periods (int): Freq. of returns (252/365 for daily, 12 for monthly)
+    """
+    if isinstance(returns, _pd.DataFrame):
+        returns = returns[returns.columns[0]]
+
+    beta = greeks(returns, benchmark, periods=periods).to_dict().get('beta', 0)
+    if beta == 0:
+        return 0
+    return (comp(returns) - rf) / beta
+
+
 def omega(returns, rf=0.0, required_return=0.0, periods=252):
     """
     Determines the Omega ratio of a strategy.

quantstats/version.py

@@ -1 +1 @@
-version = "0.0.51"
+version = "0.0.52"