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MAINT: Rename risk metric function names to include '_ratio' suffix.

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To make the risk metrics being calculated more clear, change the
naming convention that ratios have a '_risk' suffix.

Also, fixes typo in beta docstring.
This commit is contained in:
Eddie Hebert
2013-04-02 11:27:34 -04:00
parent 45bca4301f
commit b3c23b0d8b
1 changed files with 20 additions and 19 deletions
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zipline/finance/risk.py
+20 -19
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@@ -98,7 +98,7 @@ def advance_by_months(dt, jump_in_months):
############################
def sharpe(algorithm_volatility, algorithm_return, treasury_return):
def sharpe_ratio(algorithm_volatility, algorithm_return, treasury_return):
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
@@ -116,7 +116,7 @@ def sharpe(algorithm_volatility, algorithm_return, treasury_return):
return (algorithm_return - treasury_return) / algorithm_volatility
def sortino(algorithm_returns, algorithm_period_return, mar):
def sortino_ratio(algorithm_returns, algorithm_period_return, mar):
"""
http://en.wikipedia.org/wiki/Sortino_ratio
@@ -143,7 +143,7 @@ def sortino(algorithm_returns, algorithm_period_return, mar):
return (algorithm_period_return - mar) / dr
def information(algorithm_returns, benchmark_returns):
def information_ratio(algorithm_returns, benchmark_returns):
"""
http://en.wikipedia.org/wiki/Information_ratio
@@ -178,7 +178,7 @@ def alpha(algorithm_period_return, treasury_period_return,
Return percentage for treasury period.
benchmark_period_return (float):
Return percentage for benchmark period.
beat (float):
beta (float):
beta value for the same period as all other values
Returns:
@@ -321,9 +321,9 @@ class RiskMetricsBase(object):
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
"""
return sharpe(self.algorithm_volatility,
self.algorithm_period_returns,
self.treasury_period_return)
return sharpe_ratio(self.algorithm_volatility,
self.algorithm_period_returns,
self.treasury_period_return)
def calculate_sortino(self, mar=None):
"""
@@ -332,15 +332,16 @@ class RiskMetricsBase(object):
if mar is None:
mar = self.treasury_period_return
return sortino(self.algorithm_returns,
self.algorithm_period_returns,
mar)
return sortino_ratio(self.algorithm_returns,
self.algorithm_period_returns,
mar)
def calculate_information(self):
"""
http://en.wikipedia.org/wiki/Information_ratio
"""
return information(self.algorithm_returns, self.benchmark_returns)
return information_ratio(self.algorithm_returns,
self.benchmark_returns)
def calculate_beta(self):
"""
@@ -696,9 +697,9 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
"""
return sharpe(self.algorithm_volatility[-1],
self.algorithm_period_returns[-1],
self.treasury_period_return)
return sharpe_ratio(self.algorithm_volatility[-1],
self.algorithm_period_returns[-1],
self.treasury_period_return)
def calculate_sortino(self, mar=None):
"""
@@ -707,17 +708,17 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
if mar is None:
mar = self.treasury_period_return
return sortino(np.array(self.algorithm_returns),
self.algorithm_period_returns[-1],
mar)
return sortino_ratio(np.array(self.algorithm_returns),
self.algorithm_period_returns[-1],
mar)
def calculate_information(self):
"""
http://en.wikipedia.org/wiki/Information_ratio
"""
A = np.array
return information(A(self.algorithm_returns),
A(self.benchmark_returns))
return information_ratio(A(self.algorithm_returns),
A(self.benchmark_returns))
def calculate_alpha(self):
"""