Proposal: change period/annualization API

[twiecki]

One thing I currently think is suboptimal is that we provide period and annualization to do the same thing. That might not be problematic if it was for a broad use-case but most users will be zipline or quantopian users and pass in daily returns. Two alternatives:

• Set global vars like DAILY = 252 and have only annualization and allow it to be passed annualization=DAILY or annualization=356 if someone wants custom.
• Allow annualization to also be a str like 'daily', essentially move period to annualization.

[twiecki]

CC @ahgnaw @abhijeetkalyan

[analicia]

Great idea, that way we can simplify the API.

[twiecki]

Glad you like it, what do you think of the two options? I kinda like the first one for its simplicity, but the other one has it's pros too.

[ssanderson]

I would be careful about enshrining a canonical definition of what "daily" means. There are ~252 trading days in the NYSE calendar, but Zipline already supports calendars other than NYSE, which have different numbers of trading days.

[analicia]

I have a preference towards the second one. Instead of having users write empyrical.function(returns, empyrical.DAILY) they could write empyrical.function(returns, 'daily')

[twiecki]

@ssanderson Since it's a free parameter users can pass in whatever is appropriate for the exchange they are trading. But we should definitely make that clear in the doc-string that the default is relative to NYSE.
@ahgnaw Yep, that's fine with me.