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catalyst/tests
Eddie Hebert 6cdd5ddb10 BUG: Fix max drawdown calculation.
The input into max drawdown was incorrect, causing the bad results.
i.e. the `compounded_log_returns` were not values representative of
the algorithms total return at a given time, though
`calculate_max_drawdown` was treating the values as if they were.
Instead, use the `algorithm_period_returns` series, which does provide
the total return.

Update risk answer key with an Excel calculation of max drawdown
to help corroborate the calculations.

Also, remove `compounded_log_returns`, (which actually had stopped
being the `compounded_log_returns` at some point), since the max
drawdown was the only calculation using the values in that series.
2014-02-27 17:16:35 -05:00
..
2014-02-27 17:16:35 -05:00
2012-05-09 13:34:13 -04:00