Commit Graph
3 Commits
Author SHA1 Message Date
Eddie Hebert 70bcfff289 MAINT: Use DataFrame for more risk metrics.
Use metrics DataFrame for alpha, beta, as previously with sharpe.
2013-09-19 21:55:28 -04:00
Eddie Hebert 66e7f48cdd MAINT: Split apart risk metrics classes.
Also remove test that compares risk metrics batch to iterative,
since the 'iterative' calculations, replaced by the cumulative
calculations, will intentionally drift from the results in the risk
report due to annualization and other factors.

Work towards having separate calculations for the fixed periods versus
the cumulative/headline risk metrics.
Different sumbodules for each type should help make the calculations
type distinct and easier to find.
2013-08-06 17:21:34 -04:00
Eddie Hebert d31303b86c ENH: Add basis for minute rate emission of performance.
- Create different benchmark containers in performance
  depending on emission rate.
- Add a minute close method which updates algorithm and
  benchmark returns, and calculates the risk metrics
  depending on those methods.
- Provide fake 0.0 values for annualized metrics like
  sharpe, sortino, and information, until we figure out
  how they should be treated in the context of minutely
  calculation.

*NOTE* This does not fully work without the changes to the
simulation loop by @fawce
2013-04-25 16:49:38 -04:00