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MAINT: Remove unneeded parameter to cumulative.calculate_alpha

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The method was using a mix of the `dt` parameter and `self.latest_dt`.
Use `self.latest_dt` to conform with the rest of the module.
This commit is contained in:
Eddie Hebert
2014-04-17 11:19:45 -04:00
parent 35b09690a1
commit 73573680f1
1 changed files with 3 additions and 3 deletions
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zipline/finance/risk/cumulative.py
+3 -3
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@@ -296,7 +296,7 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
-
self.treasury_period_return)
self.metrics.beta[dt] = self.calculate_beta()
self.metrics.alpha[dt] = self.calculate_alpha(dt)
self.metrics.alpha[dt] = self.calculate_alpha()
self.metrics.sharpe[dt] = self.calculate_sharpe()
self.metrics.downside_risk[dt] = self.calculate_downside_risk()
self.metrics.sortino[dt] = self.calculate_sortino()
@@ -407,14 +407,14 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
self.annualized_mean_returns[self.latest_dt],
self.annualized_mean_benchmark_returns[self.latest_dt])
def calculate_alpha(self, dt):
def calculate_alpha(self):
"""
http://en.wikipedia.org/wiki/Alpha_(investment)
"""
return alpha(self.annualized_mean_returns[self.latest_dt],
self.treasury_period_return,
self.annualized_mean_benchmark_returns[self.latest_dt],
self.metrics.beta[dt])
self.metrics.beta[self.latest_dt])
def calculate_volatility(self, daily_returns):
if len(daily_returns) <= 1: