braverock / braverock/quantstrat
SharpeRatio.deflated very slow for large audit environment
Open
enhancement
- Dominant language
- R
- Stars
- 310
- Forks
- 121
- PR merge metrics
- No merged PRs in 30d
Description
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.
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Assessment
This issue has not been assessed yet.