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Added TO-DO comment/question in plotting.plot_rolling_returns() for h…
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…ow to properly address Issue #152
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Justin Lent committed Oct 14, 2015
1 parent b3c2215 commit 2a0c49c
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5 changes: 5 additions & 0 deletions pyfolio/plotting.py
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Expand Up @@ -600,6 +600,11 @@ def draw_cone(returns, num_stdev, live_start_date, ax):
'factor_returns.')
elif volatility_match and factor_returns is not None:
bmark_vol = factor_returns.loc[returns.index].std()
# TO-DO: @tweicki 'returns' probably needs to get updated to:
# (returns / returns.std()) * bmark_vol if we want to plot
# the cone on this later on.
# Will we need a temp variable to do this? Or can we just re-assign as
# returns = (returns / returns.std()) * bmark_vol
df_cum_rets = timeseries.cum_returns(
(returns / returns.std()) * bmark_vol,
1.0
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