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semi_stdev function is wrong #15

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AlessandroQI opened this issue Aug 20, 2019 · 0 comments
Open

semi_stdev function is wrong #15

AlessandroQI opened this issue Aug 20, 2019 · 0 comments

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@AlessandroQI
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AlessandroQI commented Aug 20, 2019

As you correctly said in comments formula is

    Formula: `sqrt( sum([min(self - thresh, 0] **2 ) / (n - ddof) )`

    Also known as: downside deviation.

so in the function --> line 867 of file returns.py:
ss = ((nansum(np.minimum(self - threshold, 0.) ** 2 )/ n) ** 0.5)
instead of:
ss = (nansum(np.minimum(self - threshold, 0.) ** 2) ** 0.5) / n

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