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SharpeRatio.deflated very slow for large audit environment

Open braverock opened this issue 6 years ago • 0 comments

The SharpeRatio.deflated function is very slow for a large audit environment.

It seems likely that loops and especially memory allocation inside those loops is the culprit. There is likely also functionality that can be vectorized.

braverock avatar Apr 17 '18 17:04 braverock