pyfolio/timeseries.py
def rolling_regression(returns, factor_returns,
                       rolling_window=APPROX_BDAYS_PER_MONTH * 6,
                       nan_threshold=0.1):
    """
    Computes rolling factor betas using a multivariate linear regression
    (separate linear regressions is problematic because the factors may be
    confounded).

    Parameters
    ----------
    returns : pd.Series
        Daily returns of the strategy, noncumulative.
         - See full explanation in tears.create_full_tear_sheet.
    factor_returns : pd.DataFrame
        Daily noncumulative returns of the benchmark factor to which betas are
        computed. Usually a benchmark such as market returns.
         - Computes rolling beta for each column.
         - This is in the same style as returns.
    rolling_window : int, optional
        The days window over which to compute the beta. Defaults to 6 months.
    nan_threshold : float, optional
        If there are more than this fraction of NaNs, the rolling regression
        for the given date will be skipped.

    Returns
    -------
    pandas.DataFrame
        DataFrame containing rolling beta coefficients to SMB, HML and UMD
    """

    # We need to drop NaNs to regress
    ret_no_na = returns.dropna()

    columns = ['alpha'] + factor_returns.columns.tolist()
    rolling_risk = pd.DataFrame(columns=columns,
                                index=ret_no_na.index)

    rolling_risk.index.name = 'dt'

    for beg, end in zip(ret_no_na.index[:-rolling_window],
                        ret_no_na.index[rolling_window:]):
        returns_period = ret_no_na[beg:end]
        factor_returns_period = factor_returns.loc[returns_period.index]

        if np.all(factor_returns_period.isnull().mean()) < nan_threshold:
            factor_returns_period_dnan = factor_returns_period.dropna()
            reg = linear_model.LinearRegression(fit_intercept=True).fit(
                factor_returns_period_dnan,
                returns_period.loc[factor_returns_period_dnan.index])
            rolling_risk.loc[end, factor_returns.columns] = reg.coef_
            rolling_risk.loc[end, 'alpha'] = reg.intercept_

    return rolling_risk
def rolling_regression(returns, factor_returns,
                       rolling_window=APPROX_BDAYS_PER_MONTH * 6,
                       nan_threshold=0.1):
    """
    Computes rolling factor betas using a multivariate linear regression
    (separate linear regressions is problematic because the factors may be
    confounded).

    Parameters
    ----------
    returns : pd.Series
        Daily returns of the strategy, noncumulative.
         - See full explanation in tears.create_full_tear_sheet.
    factor_returns : pd.DataFrame
        Daily noncumulative returns of the benchmark factor to which betas are
        computed. Usually a benchmark such as market returns.
         - Computes rolling beta for each column.
         - This is in the same style as returns.
    rolling_window : int, optional
        The days window over which to compute the beta. Defaults to 6 months.
    nan_threshold : float, optional
        If there are more than this fraction of NaNs, the rolling regression
        for the given date will be skipped.

    Returns
    -------
    pandas.DataFrame
        DataFrame containing rolling beta coefficients to SMB, HML and UMD
    """

    # We need to drop NaNs to regress
    ret_no_na = returns.dropna()

    columns = ['alpha'] + factor_returns.columns.tolist()
    rolling_risk = pd.DataFrame(columns=columns,
                                index=ret_no_na.index)

    rolling_risk.index.name = 'dt'

    for beg, end in zip(ret_no_na.index[:-rolling_window],
                        ret_no_na.index[rolling_window:]):
        returns_period = ret_no_na[beg:end]
        factor_returns_period = factor_returns.loc[returns_period.index]

        if np.all(factor_returns_period.isnull().mean()) < nan_threshold:
            factor_returns_period_dnan = factor_returns_period.dropna()
            reg = linear_model.LinearRegression(fit_intercept=True).fit(
                factor_returns_period_dnan,
                returns_period.loc[factor_returns_period_dnan.index])
            rolling_risk.loc[end, factor_returns.columns] = reg.coef_
            rolling_risk.loc[end, 'alpha'] = reg.intercept_

    return rolling_risk
def rolling_regression ( returns , factor_returns , rolling_window = APPROX_BDAYS_PER_MONTH * 6 , nan_threshold = 0.1 ) : # We need to drop NaNs to regress ret_no_na = returns . dropna ( ) columns = [ 'alpha' ] + factor_returns . columns . tolist ( ) rolling_risk = pd . DataFrame ( columns = columns , index = ret_no_na . index ) rolling_risk . index . name = 'dt' for beg , end in zip ( ret_no_na . index [ : - rolling_window ] , ret_no_na . index [ rolling_window : ] ) : returns_period = ret_no_na [ beg : end ] factor_returns_period = factor_returns . loc [ returns_period . index ] if np . all ( factor_returns_period . isnull ( ) . mean ( ) ) < nan_threshold : factor_returns_period_dnan = factor_returns_period . dropna ( ) reg = linear_model . LinearRegression ( fit_intercept = True ) . fit ( factor_returns_period_dnan , returns_period . loc [ factor_returns_period_dnan . index ] ) rolling_risk . loc [ end , factor_returns . columns ] = reg . coef_ rolling_risk . loc [ end , 'alpha' ] = reg . intercept_ return rolling_risk
Computes rolling factor betas using a multivariate linear regression
    (separate linear regressions is problematic because the factors may be
    confounded).

    Parameters
    ----------
    returns : pd.Series
        Daily returns of the strategy, noncumulative.
         - See full explanation in tears.create_full_tear_sheet.
    factor_returns : pd.DataFrame
        Daily noncumulative returns of the benchmark factor to which betas are
        computed. Usually a benchmark such as market returns.
         - Computes rolling beta for each column.
         - This is in the same style as returns.
    rolling_window : int, optional
        The days window over which to compute the beta. Defaults to 6 months.
    nan_threshold : float, optional
        If there are more than this fraction of NaNs, the rolling regression
        for the given date will be skipped.

    Returns
    -------
    pandas.DataFrame
        DataFrame containing rolling beta coefficients to SMB, HML and UMD
Computes rolling factor betas using a multivariate linear regression ( separate linear regressions is problematic because the factors may be confounded ) .