ENH Ability to make cones with multiple shades stdev regions #168
Conversation
…otting.plot_rolling_returns. Update calling functions to use default of plotting these multiple regions: 1.0, 1.5, 2.0 stdevs
| cone_fit_end_date=live_start_date) | ||
| # check to see if we're just rendering a single cone, or multiple | ||
| # cones at various stddevs, defined as elements of cone_std | ||
| if type(cone_std) is list: |
There was a problem hiding this comment.
Instead of having separate logic for list and float case. I would convert every float to a list, then have one loop.
…cal function. Turn off cones completely if plotting volatility match
|
I committed the update that factors out the cone rendering into a local draw_cone. definitely cleaner! by cleaning it up it also let me easily turn off the cone in the volatility match case -- was only a 3 "word" change so I snuck it in here instead of its own PR--yeah I know not great practice ;) |
| cone_fit_end_date=live_start_date) | ||
|
|
||
| cone_df_fit = cone_df[cone_df.index < live_start_date] | ||
| if cone_std is not None and not volatility_match: |
There was a problem hiding this comment.
I think we shouldn't prohibit a user from drawing a cone if they set volatility_match to true. Instead, we should pass cone_std=None in the create_returns_tearsheet() function.
… in ploting.plot_rolling_retuns(), and specify it turned off in the calling functions tears.create_returns_tear_sheet()
…ow to properly address Issue #152
| @@ -582,6 +600,11 @@ def plot_rolling_returns( | |||
| 'factor_returns.') | |||
| elif volatility_match and factor_returns is not None: | |||
| bmark_vol = factor_returns.loc[returns.index].std() | |||
| # TO-DO: @tweicki 'returns' probably needs to get updated to: | |||
There was a problem hiding this comment.
I agree, if volatility_match is True, returns need to be changed/re-assigned as you proposed. That will fix the vol match plot.
…s. Fix cone rendering in volatility weighted case
|
@twiecki Do you think this is good to merge soon? Looks like merge conflicts are cropping up unfortunately. I'm out this upcoming Friday and Monday so I can try address anything else you see necessary |
|
Merged with 0040047. Sorry this took a while. |
No description provided.