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Eddie Hebert
1406f8e9ba
The check of existence of the null return key, and the drop of said return on every single bar was adding unneeded CPU time when an algorithm was run with minute emissions. Instead, add the 0.0 return with an index of the trading day before the start date. The removal of the `null return` was mainly in place so that the period calculation was not crashing on a non-date index value; with the index as a date, the period return can also approximate volatility (even though the that volatility has high noise-to-signal strength because it uses only two values as an input.)