Join GitHub today
GitHub is home to over 28 million developers working together to host and review code, manage projects, and build software together.Sign up
Unify risk metrics across zipline and pyfolio #855
Discussion started over here: #853
With @llllllllll saying "The main reason for moving this to a new repo would be to make all the risk metrics that we report consistent. We can share implementation and tests for zipline and pyfolio which is great for avoiding duplication and introducing subtle differences. I would want this to be a standalone project because I don't think it makes sense for zipline to be a dependency of pyfolio or for pyfolio to be a dependency of zipline."
One thing to consider is that the data passed into zipline and pyfolio risk metrics is quite different. pyfolio requires arrays and zipline passes in e.g. mean returns. If we rely on separate code paths we might just move that problem somewhere else.