From 25105c673dfb071cfa6ad22ea1300fb84dafa150 Mon Sep 17 00:00:00 2001 From: CaryLorrk Date: Tue, 16 Aug 2016 14:02:18 +0800 Subject: [PATCH] subtraction for market neutralization match timestamps of market on timestamps of symbols. --- QSTK/qstkstudy/EventProfiler.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/QSTK/qstkstudy/EventProfiler.py b/QSTK/qstkstudy/EventProfiler.py index 0b103e0f5..97661cea4 100644 --- a/QSTK/qstkstudy/EventProfiler.py +++ b/QSTK/qstkstudy/EventProfiler.py @@ -32,7 +32,7 @@ def eventprofiler(df_events_arg, d_data, i_lookback=20, i_lookforward=20, tsu.returnize0(df_rets.values) if b_market_neutral == True: - df_rets = df_rets - df_rets[s_market_sym] + df_rets = df_rets.subtract(df_rets[s_market_sym], axis='index') del df_rets[s_market_sym] del df_events[s_market_sym]