marked a todo for a calculation bug

2026-06-28 13:35:43 +08:00 · 2012-05-30 23:55:25 -04:00
parent ef763f28d0
commit a4ea3e3343
1 changed files with 2 additions and 0 deletions
@@ -187,6 +187,8 @@ class RiskMetrics():
        return period_returns, returns

    def calculate_volatility(self, daily_returns):
+        # TODO: we should be using an annualized number for the
+        # square root, not the days in the period.
        return np.std(daily_returns, ddof=1) * math.sqrt(self.trading_days)

    def calculate_sharpe(self):