Comments (6)
twiecki
commented on July 21, 2024
CC @ahgnaw @abhijeetkalyan
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analicia
commented on July 21, 2024
Great idea, that way we can simplify the API.
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twiecki
commented on July 21, 2024
Glad you like it, what do you think of the two options? I kinda like the first one for its simplicity, but the other one has it's pros too.
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ssanderson
commented on July 21, 2024
I would be careful about enshrining a canonical definition of what "daily" means. There are ~252 trading days in the NYSE calendar, but Zipline already supports calendars other than NYSE, which have different numbers of trading days.
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analicia
commented on July 21, 2024
I have a preference towards the second one. Instead of having users write empyrical.function(returns, empyrical.DAILY) they could write empyrical.function(returns, 'daily')
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twiecki
commented on July 21, 2024
@ssanderson Since it's a free parameter users can pass in whatever is appropriate for the exchange they are trading. But we should definitely make that clear in the doc-string that the default is relative to NYSE.
@ahgnaw Yep, that's fine with me.
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Related Issues (20)
- backwards compat: empyrical.cum_returns_final used to support dataframes HOT 2
- Literature for levy exponent in annual_volatility?
- Someone is name squatting HOT 5
- KeyError: 'date' HOT 4
- _create_unary_vectorized_roll_function(function) how to use parameters "out : array-like, optional"
- sharpe_ratio calculated correctly? HOT 2
- Pandas unable to import datareader deprecation error HOT 1
- Support Python >3.5 HOT 6
- Remove Series.strides from codebase (Pandas deprecation) HOT 2
- Link to sortino-related pdf no longer works
- Community Contributions HOT 3
- Uncaught Exception: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead. HOT 1
- ImportError: cannot import name 'information_ratio' from 'empyrical' HOT 1
- empyrical.stats.value_at_risk output is NaN
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- Safety Error on empyrical installed via conda-forge HOT 1
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- error in cagr computation (when negative)
- python 3.12 versioner incompatible HOT 1
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