BUG: Use empyrical patches for persisting issue #126

The referenced issue was addressed via importing a set of patches
for empyrical. However the same error occurs occasionally when calling
the empyrical functions inside "/catalyst/finance/risk/period.py".

This PR simply applies 2 of the same patches in period.py.
I have only experienced problems with cum_returns and max_drawdown
thus far, but it is likely the other patches may be needed.
This commit is contained in:
Cam Sweeney
2018-01-23 02:37:01 -08:00
parent 78eb5d9d64
commit 8223d06d98
+4 -2
View File
@@ -29,13 +29,15 @@ from .risk import check_entry
from empyrical import (
alpha_beta_aligned,
annual_volatility,
cum_returns,
downside_risk,
information_ratio,
max_drawdown,
sharpe_ratio,
sortino_ratio
)
from catalyst.patches.stats import (
max_drawdown,
cum_returns,
)
from catalyst.constants import LOG_LEVEL