Code

Refactor roundtrip#293

Code

Merged

twiecki merged 13 commits intomasterquantopian/pyfolio:masterfrom refactor_roundtripquantopian/pyfolio:refactor_roundtripCopy head branch name to clipboardApr 19, 2016

+950-232

Commits

Commits on Apr 18, 2016

• ENH Add new round-trip analysis that rests on portfolio reconstruction and does not require closing of positions.

  twiecki

  committed
  0cc10b8

• ENH Change round-trip to be FIFO instead of LIFO.

  twiecki

  committed
  5e80356

• WIP Add new test for groupby_consecutive. Fix old tests to work with new code.

  twiecki

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  9dc8768

• TST Add additional test for computing non-zero-crossing round-trip and one that has portfolio values to compute portfolio round-trip return.

  twiecki

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  3419af0

• STY PPE8 fixes.

  twiecki

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  c88fb72

• STY Use paranetheses for method chaining.

  twiecki

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  23e4c4b

• STY Use APPROX_BDAYS_PER_MONTH instead of 21.

  twiecki

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  9ce08a0

Commits on Apr 19, 2016

• BUG Use BoD portfolio value to compute round-trip returns.

  twiecki

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  88daaf2

• STY Vectorize signed and abs price computations.

  twiecki

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  6dd4b43

• STY PEP8 fixes.

  twiecki

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  aa6c749

• BUG Do not multiply symbol returns twice by 100.

  twiecki

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  c89de37

• DOC Update round-trip notebook.

  twiecki

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  73d2cdc

• DOC Update release notes.

  twiecki

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  cf5f7bd