changed formulas from compounded to sum

quantstats/stats.py

@@ -604,7 +604,7 @@ def serenity_index(returns, rf=0):
  """
  dd = to_drawdown_series(returns)
  pitfall = -cvar(dd) / returns.std()
- return (comp(returns) - rf) / (ulcer_index(returns) * pitfall)
+ return (returns.sum() - rf) / (ulcer_index(returns) * pitfall)
 
 
 def risk_of_ruin(returns, prepare_returns=True):
@@ -747,13 +747,13 @@ def outlier_loss_ratio(returns, quantile=0.01, prepare_returns=True):
  return returns.quantile(quantile).mean() / returns[returns < 0].mean()
 
 
-def recovery_factor(returns, prepare_returns=True):
+def recovery_factor(returns, rf=0., prepare_returns=True):
  """Measures how fast the strategy recovers from drawdowns"""
  if prepare_returns:
  returns = _utils._prepare_returns(returns)
- total_returns = comp(returns)
+ total_returns = returns.sum() - rf
  max_dd = max_drawdown(returns)
- return total_returns / abs(max_dd)
+ return abs(total_returns) / abs(max_dd)
 
 
 def risk_return_ratio(returns, prepare_returns=True):