quantopian / zipline

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LAST BUILD ON BRANCH pass-arrays-directly-to-risk-calcs

branch: pass-arrays-directly-to-risk-calcs

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• pass-arrays-directly-to-risk-calcs
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PERF: Reduce memory usage during risk metric calculations.

For beta calculation:

Remove `.dropna` , since it was creating a new
Series and Index which inflated memory usage as algorithm run time
progressed.

For downside risk calculations:

Instead of using pd.Series calculations, pass the underlying
numpy array which have already been sliced to the exact dt, so that the
call to `round` does not create a new Series.