From a6184b87e365fccb5d9913d9b725900fa688541f Mon Sep 17 00:00:00 2001 From: Richard Frank Date: Mon, 24 Mar 2014 13:57:29 -0400 Subject: [PATCH] MAINT: Set initial values so to_dict can be called immediately Previously, it would raise an exception. --- zipline/finance/risk/cumulative.py | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/zipline/finance/risk/cumulative.py b/zipline/finance/risk/cumulative.py index 3b75d506..1fd95e64 100644 --- a/zipline/finance/risk/cumulative.py +++ b/zipline/finance/risk/cumulative.py @@ -204,6 +204,9 @@ class RiskMetricsCumulative(object): self.max_drawdown = 0 self.current_max = -np.inf self.daily_treasury = pd.Series(index=self.trading_days) + self.treasury_period_return = np.nan + + self.num_trading_days = 0 def get_minute_index(self, sim_params): """ @@ -338,7 +341,7 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}" dt = self.latest_dt period_label = dt.strftime("%Y-%m") rval = { - 'trading_days': len(self.algorithm_returns), + 'trading_days': self.num_trading_days, 'benchmark_volatility': self.metrics.benchmark_volatility[dt], 'algo_volatility': self.metrics.algorithm_volatility[dt], 'treasury_period_return': self.treasury_period_return,