There is a typo in class PerformanceStats -
Line 395 in ffn/core.py
"('yearly_sharpe', 'Yearly Sortino', 'n'),"
The short name should be "yearly_sortino"
Besides, in class PerformanceStats def _create_stats_series -
Line 586 in ffn/core.py
"pd.Series(values, short_names).drop_duplicates()"
Using drop_duplicates() here directly may be problematic -
Consider when ytd = 0.1 and mtd = 0.1 as well. The row "mtd = 0.1" will be dropped.
JordanPlatts
commented
6 years ago
First, thank all the contributors of ffn and bt!
There is a typo in class PerformanceStats - Line 395 in ffn/core.py "('yearly_sharpe', 'Yearly Sortino', 'n')," The short name should be "yearly_sortino"
Besides, in class PerformanceStats def _create_stats_series - Line 586 in ffn/core.py "pd.Series(values, short_names).drop_duplicates()" Using drop_duplicates() here directly may be problematic - Consider when ytd = 0.1 and mtd = 0.1 as well. The row "mtd = 0.1" will be dropped.