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rolling_sharpe.py
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# Imports are installed for you — no packages field, no image to build. import numpy as np def rolling_sharpe(returns, window: int) -> float: best = -1e9 for i in range(window, len(returns)): total = 0.0 sq = 0.0 for j in range(i - window, i): total += returns[j] sq += returns[j] * returns[j] mean = total / window var = sq / window - mean * mean if var > 1e-12: s = mean / (var ** 0.5) if s > best: best = s return best rng = np.random.default_rng(7) returns = rng.normal(0.0004, 0.01, 60_000) print("best rolling sharpe:", round(rolling_sharpe(returns, 64), 4))
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