first commit

core/stats.js

@@ -0,0 +1,17 @@
+const stats = require('stats-lite');
+const lodash = require('lodash');
+
+
+// simply monkey patch the stats with other stuff we
+// need and pass on.
+
+// sharpe ratio
+//
+// @param returns (array - list of returns)
+// @param rfreturn (number - risk free return)
+// 
+stats.sharpe = (returns, rfreturn) => {
+  return (stats.mean(returns) - rfreturn) / stats.stdev(returns);
+}
+
+module.exports = stats;