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ENH: vectorize mean algorithm returns calculation

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In a sample backtest on my machine, this takes the final risk
calculations down from ~10 seconds to ~0.8 seconds.
This commit is contained in:
Jean Bredeche
2015-10-24 13:18:52 -04:00
parent 358ab41569
commit b0b159e12d
1 changed files with 3 additions and 6 deletions
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zipline/finance/risk/period.py
+3 -6
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@@ -100,12 +100,9 @@ class RiskMetricsPeriod(object):
self.num_trading_days = len(self.benchmark_returns)
self.trading_day_counts = pd.stats.moments.rolling_count(
self.algorithm_returns, self.num_trading_days)
self.mean_algorithm_returns = pd.Series(
index=self.algorithm_returns.index)
for dt, ret in self.algorithm_returns.iteritems():
self.mean_algorithm_returns[dt] = (
self.algorithm_returns[:dt].sum() /
self.trading_day_counts[dt])
self.mean_algorithm_returns = \
self.algorithm_returns.cumsum() / self.trading_day_counts
self.benchmark_volatility = self.calculate_volatility(
self.benchmark_returns)