pyfolio/timeseries.py
def value_at_risk(returns, period=None, sigma=2.0):
    """
    Get value at risk (VaR).

    Parameters
    ----------
    returns : pd.Series
        Daily returns of the strategy, noncumulative.
         - See full explanation in tears.create_full_tear_sheet.
    period : str, optional
        Period over which to calculate VaR. Set to 'weekly',
        'monthly', or 'yearly', otherwise defaults to period of
        returns (typically daily).
    sigma : float, optional
        Standard deviations of VaR, default 2.
    """
    if period is not None:
        returns_agg = ep.aggregate_returns(returns, period)
    else:
        returns_agg = returns.copy()

    value_at_risk = returns_agg.mean() - sigma * returns_agg.std()
    return value_at_risk
def value_at_risk(returns, period=None, sigma=2.0):
    """
    Get value at risk (VaR).

    Parameters
    ----------
    returns : pd.Series
        Daily returns of the strategy, noncumulative.
         - See full explanation in tears.create_full_tear_sheet.
    period : str, optional
        Period over which to calculate VaR. Set to 'weekly',
        'monthly', or 'yearly', otherwise defaults to period of
        returns (typically daily).
    sigma : float, optional
        Standard deviations of VaR, default 2.
    """
    if period is not None:
        returns_agg = ep.aggregate_returns(returns, period)
    else:
        returns_agg = returns.copy()

    value_at_risk = returns_agg.mean() - sigma * returns_agg.std()
    return value_at_risk
def value_at_risk ( returns , period = None , sigma = 2.0 ) : if period is not None : returns_agg = ep . aggregate_returns ( returns , period ) else : returns_agg = returns . copy ( ) value_at_risk = returns_agg . mean ( ) - sigma * returns_agg . std ( ) return value_at_risk
Get value at risk (VaR).

    Parameters
    ----------
    returns : pd.Series
        Daily returns of the strategy, noncumulative.
         - See full explanation in tears.create_full_tear_sheet.
    period : str, optional
        Period over which to calculate VaR. Set to 'weekly',
        'monthly', or 'yearly', otherwise defaults to period of
        returns (typically daily).
    sigma : float, optional
        Standard deviations of VaR, default 2.
Get value at risk ( VaR ) .