Clip ratios to [0, inf)

Author: kernc

backtesting/backtesting.py

@@ -1410,11 +1410,11 @@ def geometric_mean(x):
 
         # Our Sharpe mismatches `empyrical.sharpe_ratio()` because they use arithmetic mean return
         # and simple standard deviation
-        s.loc['Sharpe Ratio'] = np.clip(s.loc['Return (Ann.) [%]'] / (s.loc['Volatility (Ann.) [%]'] or np.nan), -1, np.inf)  # noqa: E501
+        s.loc['Sharpe Ratio'] = np.clip(s.loc['Return (Ann.) [%]'] / (s.loc['Volatility (Ann.) [%]'] or np.nan), 0, np.inf)  # noqa: E501
         # Our Sortino mismatches `empyrical.sortino_ratio()` because they use arithmetic mean return
-        s.loc['Sortino Ratio'] = annualized_return / (np.sqrt(np.mean(day_returns.clip(-np.inf, 0)**2)) * np.sqrt(annual_trading_days))  # noqa: E501
+        s.loc['Sortino Ratio'] = np.clip(annualized_return / (np.sqrt(np.mean(day_returns.clip(-np.inf, 0)**2)) * np.sqrt(annual_trading_days)), 0, np.inf)  # noqa: E501
         max_dd = -np.nan_to_num(dd.max())
-        s.loc['Calmar Ratio'] = annualized_return / (-max_dd or np.nan)
+        s.loc['Calmar Ratio'] = np.clip(annualized_return / (-max_dd or np.nan), 0, np.inf)
         s.loc['Max. Drawdown [%]'] = max_dd * 100
         s.loc['Avg. Drawdown [%]'] = -dd_peaks.mean() * 100
         s.loc['Max. Drawdown Duration'] = _round_timedelta(dd_dur.max())