braverock / braverock/quantstrat

SharpeRatio.haircut is very slow for large audit environment

Open
#79 0 comments 0 reactions 0 assignees View on GitHub
enhancement
Dominant language
R
Stars
310
Forks
121
PR merge metrics
No merged PRs in 30d

Description

The SharpeRatio.haircut 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.

Contributor guide

Open the contributing guide

Research direction

Locate the SharpeRatio.haircut function in the R source and profile it with a large audit environment to identify loop and allocation costs. Compare any optimization against the existing function's results; done means materially improved performance while preserving equivalent output.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
fintech-quant, performance
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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