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ENH: added rate of return option in 'create_event_study_tear_sheet' #298

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merged 1 commit into from May 10, 2018

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@luca-s luca-s commented May 10, 2018

Added option to display rate of return or simple return. Depending on the event we are analyzing it might
be more appropriate to use rate of return vs simple return

Rate of return allows to compare return happening at different time
frequency though, if an event doesn't happen frequently, we cannot
enter new positions any single day, so the rate of return doesn't
work well in this scenario and the return is more sensible in this case.
For this reason it is now optional.
@luca-s luca-s merged commit b45d508 into quantopian:master May 10, 2018
@luca-s luca-s deleted the fix branch May 10, 2018 16:37
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