Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Unify risk metrics across zipline and pyfolio #855

Closed
twiecki opened this issue Nov 18, 2015 · 5 comments
Closed

Unify risk metrics across zipline and pyfolio #855

twiecki opened this issue Nov 18, 2015 · 5 comments

Comments

@twiecki
Copy link
Contributor

@twiecki twiecki commented Nov 18, 2015

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.

@ehebert
Copy link
Contributor

@ehebert ehebert commented Nov 23, 2015

What are the shape/contents of the arrays passed by pyfolio?

It should not be too much work to change Zipline over to using a different array structure since risk modules are already keeping track of the original returns as well.

Loading

@twiecki
Copy link
Contributor Author

@twiecki twiecki commented Nov 23, 2015

It takes an array of daily returns and daily treasury returns.

Loading

@twiecki
Copy link
Contributor Author

@twiecki twiecki commented Apr 14, 2016

I ported the risk metrics to https://github.com/quantopian/pyrisk so zipline is free to move over.

Loading

@twiecki
Copy link
Contributor Author

@twiecki twiecki commented Apr 14, 2016

Loading

@analicia
Copy link
Contributor

@analicia analicia commented Aug 23, 2016

Loading

@analicia analicia closed this Aug 23, 2016
@analicia analicia reopened this Aug 24, 2016
@richafrank richafrank closed this Sep 9, 2016
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Projects
None yet
Linked pull requests

Successfully merging a pull request may close this issue.

None yet
4 participants