ENH: Use nanstd and nanmean, remove skipped test (#37)

empyrical/stats.py

@@ -463,10 +463,10 @@ def sharpe_ratio(returns, risk_free=0, period=DAILY, annualization=None):
     returns_risk_adj = np.asanyarray(_adjust_returns(returns, risk_free))
     returns_risk_adj = returns_risk_adj[~np.isnan(returns_risk_adj)]
 
-    if np.std(returns_risk_adj, ddof=1) == 0:
+    if nanstd(returns_risk_adj, ddof=1) == 0:
         return np.nan
 
-    return np.mean(returns_risk_adj) / np.std(returns_risk_adj, ddof=1) * \
+    return nanmean(returns_risk_adj) / nanstd(returns_risk_adj, ddof=1) * \
         np.sqrt(ann_factor)
 
 

empyrical/tests/test_stats.py

@@ -3,7 +3,7 @@
 import random
 from copy import copy
 from operator import attrgetter
-from unittest import TestCase, skip, SkipTest
+from unittest import TestCase, SkipTest
 
 from parameterized import parameterized
 import numpy as np
@@ -217,26 +217,6 @@ def test_max_drawdown(self, returns, expected):
             expected,
             DECIMAL_PLACES)
 
-    # Multiplying returns by a positive constant larger than 1 will increase
-    # the maximum drawdown by a factor greater than or equal to the constant.
-    # Similarly, a positive constant smaller than 1 will decrease maximum
-    # drawdown by at least the constant.
-    @parameterized.expand([
-        (noise_uniform, 1.1),
-        (noise, 2),
-        (noise_uniform, 10),
-        (noise_uniform, 0.99),
-        (noise, 0.5)
-    ])
-    @skip("Randomly fails")
-    def test_max_drawdown_transformation(self, returns, constant):
-        max_dd = self.empyrical.max_drawdown(returns)
-        transformed_dd = self.empyrical.max_drawdown(constant*returns)
-        if constant >= 1:
-            assert constant*max_dd <= transformed_dd
-        else:
-            assert constant*max_dd >= transformed_dd
-
     # Maximum drawdown is always less than or equal to zero. Translating
     # returns by a positive constant should increase the maximum
     # drawdown to a maximum of zero. Translating by a negative constant