omega_ratio
Calculate the Omega Ratio.
The Omega Ratio is a sophisticated metric that goes beyond traditional performance measures by considering the probability of achieving returns above a given threshold. It offers a more nuanced view of risk and reward, focusing on the likelihood of success rather than just average outcomes.
Example
from openbb import obb
stock_data = obb.equity.price.historical(symbol="TSLA", start_date="2023-01-01", provider="fmp").to_df()
returns = stock_data["close"].pct_change().dropna()
obb.quantitative.omega_ratio(data=returns, target="close")
Parameters
- standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| data | List[Data] | Time series data. | False | |
| target | str | Target column name. | False | |
| threshold_start | float | Start threshold, by default 0.0 | 0.0 | False |
| threshold_end | float | End threshold, by default 1.5 | 1.5 | False |
Returns
OBBject
results : OmegaModel]
Omega ratios.