ENH Add volatility matching to cumulative returns plot. #126
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
|
ping @justinlent for next week. |
|
+1 @twiecki this looks good! I briefly scrolled through the vol-scaling code, but let me know if there was anything specific you wanted me to look at more deeply |
|
@justinlent thanks! mostly wanted to check if you thought matching the benchmark made sense VS a static scaling. |
|
Merged with df2eeb8 |
|
@twiecki I definitely like the benchmark matching methodology. I also think showing a static scaling of 10% would be useful as an option (10% seems to be a very common industry volatility scaling unit), but maybe that's another PR. |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Adds a new row that shows the cum returns normalized to have the same volatility as the benchmark over the same period:
CC @Jstauth