diff --git a/zipline/finance/performance/period.py b/zipline/finance/performance/period.py index 82ce390e..de109170 100644 --- a/zipline/finance/performance/period.py +++ b/zipline/finance/performance/period.py @@ -57,8 +57,6 @@ omitted). | max_capital\ | The maximum amount of capital deployed during the | | _used | period. | +---------------+------------------------------------------------------+ - | max_leverage | The maximum leverage used during the period. | - +---------------+------------------------------------------------------+ | period_close | The last close of the market in period. datetime in | | | pytz.utc timezone. | +---------------+------------------------------------------------------+ @@ -74,7 +72,6 @@ omitted). from __future__ import division import logbook -import math import numpy as np import pandas as pd @@ -132,9 +129,6 @@ class PerformancePeriod(object): self.processed_transactions = defaultdict(list) self.orders_by_modified = defaultdict(OrderedDict) self.orders_by_id = OrderedDict() - self.cumulative_capital_used = 0.0 - self.max_capital_used = 0.0 - self.max_leverage = 0.0 def ensure_position_index(self, sid): try: @@ -198,7 +192,6 @@ class PerformancePeriod(object): def adjust_cash(self, amount): self.period_cash_flow += amount - self.cumulative_capital_used -= amount def calculate_performance(self): self.ending_value = self.calculate_positions_value() @@ -252,27 +245,6 @@ class PerformancePeriod(object): self.period_cash_flow -= txn.price * txn.amount - # Max Leverage - # --------------- - # Calculate the maximum capital used and maximum leverage - transaction_cost = txn.price * txn.amount - self.cumulative_capital_used += transaction_cost - - if math.fabs(self.cumulative_capital_used) > self.max_capital_used: - self.max_capital_used = math.fabs(self.cumulative_capital_used) - - # We want to conveye a level, rather than a precise figure. - # round to the nearest 5,000 to keep the number easy on the eyes - self.max_capital_used = self.round_to_nearest( - self.max_capital_used, - base=5000 - ) - - # we're adding a 10% cushion to the capital used. - self.max_leverage = 1.1 * \ - self.max_capital_used / self.starting_cash - - # add transaction to the list of processed transactions if self.keep_transactions: self.processed_transactions[txn.dt].append(txn) @@ -300,9 +272,6 @@ class PerformancePeriod(object): 'starting_cash': self.starting_cash, 'ending_cash': self.ending_cash, 'portfolio_value': self.ending_cash + self.ending_value, - 'cumulative_capital_used': self.cumulative_capital_used, - 'max_capital_used': self.max_capital_used, - 'max_leverage': self.max_leverage, 'pnl': self.pnl, 'returns': self.returns, 'period_open': self.period_open,