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Unify risk metrics across zipline and pyfolio #855

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twiecki opened this Issue Nov 18, 2015 · 5 comments

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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.

@twiecki twiecki referenced this issue Nov 18, 2015

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Fix Sharpe ratio calculation #853

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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.

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twiecki commented Nov 23, 2015

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

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twiecki commented Apr 14, 2016

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

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twiecki commented Apr 14, 2016

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ahgnaw commented Aug 23, 2016

@ahgnaw ahgnaw closed this Aug 23, 2016

@ahgnaw ahgnaw reopened this Aug 24, 2016

@richafrank richafrank closed this Sep 9, 2016

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