#noqa: E501

Author: jensnesten

backtesting/_stats.py

@@ -156,8 +156,7 @@ def _round_timedelta(value, _period=_data_period(index)):
     market_log_returns = np.log(c[1:] / c[:-1])
     cov_matrix = np.cov(equity_log_returns, market_log_returns)
     beta = cov_matrix[0, 1] / cov_matrix[1, 1]
-    alpha = (s.loc['Return [%]'] - risk_free_rate * 100) - beta * (s.loc['Buy & Hold Return [%]'] - risk_free_rate * 100)
-    s.loc['Alpha [%]'] = alpha
+    s.loc['Alpha [%]'] = (s.loc['Return [%]'] - risk_free_rate * 100) - beta * (s.loc['Buy & Hold Return [%]'] - risk_free_rate * 100) # noqa: E501
     s.loc['Beta'] = beta
     s.loc['Max. Drawdown [%]'] = max_dd * 100
     s.loc['Avg. Drawdown [%]'] = -dd_peaks.mean() * 100