temporary fix for: Rf rate when not 0 metrics are incorrectly calculated due to dataframe alteration#159
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ranaroussi merged 2 commits intoranaroussi:mainfrom Jan 22, 2022
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…ted, due to dataframes being unnecessarily updated
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Ran, This is my first ever pull request, any notes or suggestions on how i can better handle a bug fix in someone elses repo would be of great value to me. Thanks mate! |
'Risk-Free Rate %'] = _pd.Series(s_rf)*100 so that it shows in the report as the right percentage (specifically in html report)
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Bug: when rf rate is used the _prepare_benchmark function is called twice before and subtracts the annual rf rate twice from both returns and benchmark data frames.
Temporary fix for issue #158: identity which function calls prepare_returns() and don't allow data frames to be cleaned via the to_excess_returns() function, only for certain functions is it allowed, such as Sharpe and Sortino ratios.
If you would like to see my testing on how i came to this conclusion, please see issue #158