BUG: fix annualization of alpha

quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.

https://quantopian.github.io/empyrical

Apache License 2.0

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Closed vikram-narayan closed 5 years ago

vikram-narayan commented 6 years ago

For #59, annualize alpha correctly

twiecki commented 6 years ago

This looks right. But would hope that some tests catch this we need to change.

vikram-narayan commented 6 years ago

@twiecki just updated test_stats.py to fix the failures - mind taking a quick look at those as well? Mostly just updating numbers

twiecki commented 6 years ago

LGTM. We should probably alert others to this bugfix.

chrismyles4 commented 6 years ago

We are good to release

yankees714 commented 6 years ago

LGTM

twiecki commented 6 years ago

Can we merge this?

vikram-narayan commented 6 years ago

We chose to wait for when we have the bandwidth to write a blog post announcing the change. Will follow up on that today

twiecki commented 5 years ago

I think there is still a bug here, as the failing tests show. Seems like it always returns 0 or nan?

twiecki commented 5 years ago

Thanks @gmanoim-quantopian !