tianjixuetu commented on issue #38370:
URL: https://github.com/apache/arrow/issues/38370#issuecomment-1774048928
a.out is the compilation result of the pure c++, the pure c++ code is:
`
#include <iostream>
#include <fstream>
#include <sstream>
#include <vector>
#include <cmath>
#include <chrono>
// 计算均值
double Mean(const std::vector<double>& data) {
double sum = 0.0;
for (const double& value : data) {
sum += value;
}
return sum / data.size();
}
// 计算标准差
double StandardDeviation(const std::vector<double>& data) {
double mean = Mean(data);
double variance = 0.0;
for (const double& value : data) {
variance += std::pow(value - mean, 2);
}
return std::sqrt(variance / (data.size()-1));
}
int main() {
auto start_time = std::chrono::high_resolution_clock::now();
std::ifstream file("./fund_nav.csv");
if (!file.is_open()) {
std::cerr << "Failed to open the CSV file." << std::endl;
return 1;
}
std::vector<double> returns;
double previous_nav = 0.0;
std::string line;
getline(file, line); // Skip the header line
while (getline(file, line)) {
std::istringstream ss(line);
std::string date, nav_str,cum_nav_str;
getline(ss, date, ',');
getline(ss, nav_str, ',');
getline(ss, cum_nav_str, ',');
//std::cout << line << std::endl;
try {
double nav = std::stod(cum_nav_str);
if (previous_nav > 0.0) {
double daily_return = (nav - previous_nav) / previous_nav;
returns.push_back(daily_return);
}
previous_nav = nav;
} catch (const std::invalid_argument& e) {
std::cerr << "Invalid data found: " << nav_str << std::endl;
}
}
file.close();
if (returns.empty()) {
std::cerr << "No returns data found." << std::endl;
return 1;
}
// 计算均值和标准差
double mean_return = Mean(returns);
double std_deviation = StandardDeviation(returns);
// 计算夏普比率
double trading_days_per_year = 252.0;
double sqrt_trading_days_per_year = std::sqrt(trading_days_per_year);
double sharpe_ratio = (mean_return * sqrt_trading_days_per_year) /
std_deviation;
// std::cout << "mean_return " << mean_return << std::endl;
// std::cout << "std_deviation " << std_deviation << std::endl;
// std::cout << "sqrt_trading_days_per_year " <<
sqrt_trading_days_per_year << std::endl;
std::cout << "the result of sharpe ratio : " << sharpe_ratio <<
std::endl;
auto end_time = std::chrono::high_resolution_clock::now();
auto duration =
std::chrono::duration_cast<std::chrono::microseconds>(end_time - start_time);
std::cout << "the consume time of pure c++ read data and caculate the
sharpe_ratio: " << duration.count()/1000.0 << " ms" << std::endl;
return 0;
}
`
the python code is :
`
import pandas as pd
import empyrical as ep
import time
a = time.perf_counter()
data = pd.read_csv("./fund_nav.csv")
returns = data['复权净值'].pct_change().dropna()
sharpe_ratio = ep.sharpe_ratio(returns)
# print("mean_return ",returns.mean())
# print("std_deviation ",returns.std())
# print("sqrt_trading_days_per_year ",252**0.5)
print("the result of sharpe ratio : ", sharpe_ratio)
b = time.perf_counter()
print(f"the consume time of python read data and caculate the sharpe_ratio:
{(b-a)*1000.0} ms")
`
> Also, pandas is not "pure python", depending on version, it might switch
to arrow or other underlying implementions.
you are right , the python code is not pure python code, it uses pandas and
numpy.
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