In the performance period the max_leverage, max_capital_used,
cumulative_capital_used were calculated but not used.
At least one of those calculations, max_leverage, was causing a
divide by zero error.
Instead of papering over that error, the entire calculation was
a bit suspect so removing, with possibility of adding it back in
later with handling the case (or raising appropriate errors) when
the algorithm has little cash on hand.
Remove the lists of DailyReturn objects in favor of using pd.Series
to store the return values.
Should make it easier to inspect the values when stepping through,
make the windowing of data to a certain range more facile by using,
and have some performance increases due to removing object creation
and member access.
So that with minute data, 2.5 orders of magnitude of data can
be cut, allowing for longer window_lenghts, when the daily
values are what are desired for a signal.
Instead of using a raw np.array and keeping track of an index into
that array, use a pd.Series to track the last_sale_price and amounts
in a vector format.
Eddie Hebert