Merge pull request #326 from quantopian/speedup_fwdrets

twiecki · web-flow · commit 23ba51e21695 · 2018-12-05T14:11:01.000+01:00
ENH Speed up fwdret computation
diff --git a/alphalens/utils.py b/alphalens/utils.py
@@ -278,11 +278,8 @@ def compute_forward_returns(factor,
         #
         # build forward returns
         #
-        fwdret = (prices
-                  .pct_change(period)
-                  .shift(-period)
-                  .reindex(factor_dateindex)
-                  )
+        fwdret = prices.shift(-period) / prices - 1
+        fwdret = fwdret.reindex(factor_dateindex)
 
         if filter_zscore is not None:
             mask = abs(fwdret - fwdret.mean()) > (filter_zscore * fwdret.std())

Original file line number	Diff line number	Diff line change
`@@ -278,11 +278,8 @@ def compute_forward_returns(factor,`
`278`	`278`	`#`
`279`	`279`	`# build forward returns`
`280`	`280`	`#`
`281`		`- fwdret = (prices`
`282`		`- .pct_change(period)`
`283`		`- .shift(-period)`
`284`		`- .reindex(factor_dateindex)`
`285`		`- )`
	`281`	`+ fwdret = prices.shift(-period) / prices - 1`
	`282`	`+ fwdret = fwdret.reindex(factor_dateindex)`
`286`	`283`
`287`	`284`	`if filter_zscore is not None:`
`288`	`285`	`mask = abs(fwdret - fwdret.mean()) > (filter_zscore * fwdret.std())`