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Merge pull request #794 from quantopian/vectorize-final-risk-calc

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ENH: vectorize mean algorithm returns calculation
This commit is contained in:
Jean Bredeche
2015-10-25 10:07:26 -04:00
parent 358ab41569 b0b159e12d
commit 0bc96a772d
1 changed files with 3 additions and 6 deletions
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zipline/finance/risk/period.py
+3 -6
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@@ -100,12 +100,9 @@ class RiskMetricsPeriod(object):
self.num_trading_days = len(self.benchmark_returns)
self.trading_day_counts = pd.stats.moments.rolling_count(
self.algorithm_returns, self.num_trading_days)
self.mean_algorithm_returns = pd.Series(
index=self.algorithm_returns.index)
for dt, ret in self.algorithm_returns.iteritems():
self.mean_algorithm_returns[dt] = (
self.algorithm_returns[:dt].sum() /
self.trading_day_counts[dt])
self.mean_algorithm_returns = \
self.algorithm_returns.cumsum() / self.trading_day_counts
self.benchmark_volatility = self.calculate_volatility(
self.benchmark_returns)