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Force float value, and compare result against boundary

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Ryan Day
2013-01-28 14:08:44 -05:00
parent 64ffa055c9
commit bb16eda1fa
1 changed files with 4 additions and 4 deletions
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zipline/finance/risk.py
+4 -4
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@@ -258,9 +258,9 @@ class RiskMetricsBase(object):
(x - mar)**2
for x in self.algorithm_returns
if x < mar]
dr = math.sqrt(sum(downside) / len(self.algorithm_returns))
dr = float(math.sqrt(sum(downside) / len(self.algorithm_returns)))
if dr == 0:
if dr < 0.000001:
return 0.0
return ((self.algorithm_period_returns - mar) / dr)
@@ -640,9 +640,9 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
(x - mar)**2
for x in self.algorithm_returns
if x < mar]
dr = math.sqrt(sum(downside) / len(self.algorithm_returns))
dr = float(math.sqrt(sum(downside) / len(self.algorithm_returns)))
if dr == 0:
if dr < 0.000001:
return 0.0
return ((self.algorithm_period_returns[-1] - mar) /