ENH Speed up fwdret computation

quantopian / alphalens

Performance analysis of predictive (alpha) stock factors

http://quantopian.github.io/alphalens

Apache License 2.0

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Closed twiecki closed 5 years ago

twiecki commented 5 years ago

By computing directly from prices rather than using pct_change().

twiecki commented 5 years ago

Seeing a 4x increase in speed.

luca-s commented 5 years ago

Have you tried multiple version of pandas?

twiecki commented 5 years ago

Travis covers those.

luca-s commented 5 years ago

I meant if you noticed a speed improvements on multiple pandas version or just one specific version (Quantopian's version I suppose)

twiecki commented 5 years ago

I see, I haven't tested that, but I'd be surprised if there were big differences between versions there.