Refactor timeseries.py #262
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* Put risk metrics to beginning of timeseries.py * Add list of all risk metrics that can be computed just on returns and those which require factor returns. * Deprecate out_of_sample_vs_in_sample_returns_kde() and stability_of_timeseries(). * Remove statsmodels and scikits-learn dependencies. Closes #232.
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@llllllllll Would love your input on this. If you're swamped with other things no worries and I'll just go ahead without you. |
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This indicates to me that we should split this into a risk.py module here or pull the non-risk metric code into another module.
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Yes, I actually started doing that already but backtracked because it wasn't clear that e.g. the rolling statistics shouldn't also go in there.
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I would either split this or kill the comment. If the distinction is not clear now then I am not sure the comment helps.
…here cumulative log-returns should have been used. This leads to different values so also fix the test value.
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@llllllllll Thanks for the great review. I addressed all issues. |
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Quite a large refactoring.
out_of_sample_vs_in_sample_returns_kde()andstability_of_timeseries().These changes are required for #261.
CC @llllllllll, @a-campbell, @justinlent