Tykhe Rolling Sharpe Ratio Mansfield

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Tykhe_Ideas

//@version=4
study("Tykhe - Rolling Sharpe Ratio Mansfield", shorttitle="Tykhe - SM")

//--------------------------- Opciones ----------------------------------- 
src = input(close, title="Fuente: ")


len = input(200, title="Length: ", minval=0)

use_rf = input(type=input.bool, defval=false, title="¿Usar tasa libre de riesgo?")

rf_sec = security(input("DTB3", title="Tasa libre de riesgo: "), timeframe.period, close)

benchmark = security(input("SPY", title="Benchmark: "), timeframe.period, close)

smoothness = input(defval=5, minval=0, title="Suavizado: ")

mostrar_sma = input(type=input.bool, defval=true, title="¿Mostrar media móvil?")

sma_period = input(200, title="Media Móvil: ", minval=0)

//--------------------------- Hull Moving average -----------------------------------
hull(x, longitud) =>
    hullma = wma(2*wma(x, longitud/2)-wma(x, longitud), round(sqrt(longitud)))

//--------------------------- Colores -----------------------------------
bull_color = #058ac5
indecision_color = #dde4c5
bear_color = #ff583e



//--------------------------- Long Sharpe -----------------------------------


rf = use_rf ? rf_sec / 100 : 0

long_pc = (src - src[len]) / src
long_std = stdev(src, len)
long_stdaspercent = long_std / src
long_SR = hull((long_pc - rf) / long_stdaspercent, smoothness)



//--------------------------- Benchmark Sharpe -----------------------------------




short_pc = (benchmark - benchmark[len]) / src
short_std = stdev(benchmark, len)
short_stdaspercent = short_std / benchmark
short_SR = hull((short_pc - rf) / short_stdaspercent, smoothness)

//______Calc

sr = (sma(long_SR/short_SR, 5) / 100)

sma_1 = ema(sr, sma_period)
media = mostrar_sma ? sma_1 : na



plot(sr, style=plot.style_histogram, color=long_SR < 0 ? bear_color : bull_color, linewidth=3, transp=50 )
plot( sr, style=plot.style_line, color=indecision_color, linewidth=2, transp=50)



plot(media, style=plot.style_circles, color=indecision_color, linewidth=1)

hline(0, linestyle=hline.style_dashed, color=indecision_color)