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quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.
https://quantopian.github.io/empyrical
Apache License 2.0
1.31k stars 406 forks source link

r-value needs to be squared #4

Closed jameschristopher closed 8 years ago

jameschristopher commented 8 years ago

https://github.com/quantopian/qrisk/blob/master/qrisk/stats.py#L638

linregress returns the r-value or correlation coefficient.

The docstring for stability_of_timeseries says it returns the r-squared as the stability score, but currently it doesn't look like it is being squared.

analicia commented 8 years ago

https://github.com/quantopian/qrisk/blob/travis/qrisk/stats.py#L648