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BUG: Correct AverageDollarVolume NaN handling

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`AverageDollarVolume` used `nanmean`, which discards NaNs before
averaging, giving an ADV which is too high for any equities that have
any NaNs.

Changing the method to `nansum` divided by window length so that the
denominator is the same no matter whether there are NaNs or not.
This commit is contained in:
Nathan Wolfe
2016-06-28 17:20:09 -04:00
parent c89e957905
commit e70490a415
1 changed files with 1 additions and 1 deletions
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zipline/pipeline/factors/technical.py
+1 -1
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@@ -156,7 +156,7 @@ class AverageDollarVolume(CustomFactor):
inputs = [USEquityPricing.close, USEquityPricing.volume]
def compute(self, today, assets, out, close, volume):
out[:] = nanmean(close * volume, axis=0)
out[:] = nansum(close * volume, axis=0) / len(close)
class _ExponentialWeightedFactor(SingleInputMixin, CustomFactor):