wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-13 17:42:42 +08:00
Code Issues Packages Projects Releases Wiki Activity

MAINT: Use arange instead of rolling_count.

Browse Source 
It's faster, and rolling_count is deprecated.
This commit is contained in:
Scott Sanderson
2016-07-14 15:29:25 -04:00
parent e33c42b3a9
commit e43a3e8b1b
1 changed files with 5 additions and 4 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/risk/period.py
+5 -4
View File
@@ -19,6 +19,7 @@ import logbook
from six import iteritems
import numpy as np
import pandas as pd
from . import risk
@@ -95,11 +96,11 @@ class RiskMetricsPeriod(object):
raise Exception(message)
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 = \
self.algorithm_returns.cumsum() / self.trading_day_counts
self.mean_algorithm_returns = (
self.algorithm_returns.cumsum() /
np.arange(1, self.num_trading_days + 1, dtype=np.float64)
)
self.benchmark_volatility = annual_volatility(self.benchmark_returns)
self.algorithm_volatility = annual_volatility(self.algorithm_returns)