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Ran 02 Feb 2020 10:46PM UTC

Files 183

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Committed 02 Feb 2020 10:27PM UTC coverage: 87.214% (-0.2%) from 87.374%

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Build Type

Pull #2642

travis-ci

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web-flow

Commit Message

ENH: Adding a flag : --no-benchmark to use zero returns as a benchmark.
In case the flag is used:
- We use a new function load_zero_benchmark to generate the zero benchmark dataframe from the trading calendar provided to run_algo
- The alpha, beta metrics are not calculated and the call to empyrical is skipped

The priority of the benchmark data is as follows:
1. a benchmark data file is provided (other flags are ignored)
2. a benchmark instrument symbol is provided (other flags are ignored)
3. the flag --no-benchmark is used (zero dataframe is used)
4. If no benchmark parameter is provided, we use the default loader to load the data saved in the data root directory and download from IEX if the API_KEY is provided (otherwise the run fails)

Pull Request Pull Request #2642: ENH: Adding --benchmark-file, --benchmark-symbol parameters to read b…

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