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Winsorized Mean and Standard Deviation - Wheeliam - Jul-11-2020
Hi all,
I have a slight problem. I need to winsorize the means and standard deviations in my code. The code is a modification of what I have bumped into online (with a few add-ons and corrections).
The mean is denoted as:
e = numpy.mean( r )
ps. I have added spaces between brackets and r - cos it was changing it to r in circle
How would I go about winosrizing it? Here is an article on how to deal with this issue, although given how new I am to Python, I would need someone's guidance in implementation.
https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.mstats.winsorize.html
The only other instance of the "mean" I have in my code is when I calculate Information Ratio:
def information_ratio(returns, benchm): diff = returns - benchmark return numpy.[b]mean[/b](diff) / vol(diff)Furthermore, would the same methodology (as for the winosrized mean) apply to the standard deviation (winsorizing it)?
Again, the only instance of the standard deviation I have listed in my code is:
return numpy.std(returns)Please advise.
Thank you