tail_events¶
-
qf_lib.common.utils.returns.tail_events.
tail_events
(benchmark_tms: qf_lib.containers.series.qf_series.QFSeries, examined_tms: qf_lib.containers.series.qf_series.QFSeries, tail_percentile: float) → [<class ‘qf_lib.containers.series.qf_series.QFSeries’>, <class ‘qf_lib.containers.series.qf_series.QFSeries’>][source]¶ Gets tail events of the benchmark and corresponding events in the examined timeseries. Both benchmark_tms and examined_tms must be of the same length. Moreover, events on each position in both series must be corresponding.
Example: for the tail_percentile = 16 all the events of the benchmark with values to the left from one standard deviation will be returned (along with corresponding events from examined_tms).
- Parameters
- Returns
(benchmark_tail_tms, examined_tail_tms) - tail events of the benchmark, events from the examined series corresponding to the benchmark’s tail events
- Return type