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Commit aabc318

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rob
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fixed messed up abs
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systems/rawdata.py

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -229,8 +229,8 @@ def get_daily_percentage_volatility(self, instrument_code: str) -> pd.Series:
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"""
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denom_price = self.daily_denominator_price(instrument_code)
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return_vol = self.daily_returns_volatility(instrument_code)
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(denom_price, return_vol) = denom_price.align(return_vol, join="right").abs()
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perc_vol = 100.0 * (return_vol / denom_price.ffill())
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(denom_price, return_vol) = denom_price.align(return_vol, join="right")
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perc_vol = 100.0 * (return_vol / denom_price.ffill().abs())
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return perc_vol
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