bugfix Cum. Active Returns with cumprod #297
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May 23, 2021 23:32
…ulate, so we cannot earn return of today
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Hi @floatinghotpot, I'll merge it in as soon as I can. Thanks, |
twopirllc
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In performance/percent_return.py:
pct_return = close.pct_change(length) # (close / close.shift(length)) - 1
So, when calculate back, it should be:
cum return = (1 + pct_return).cumprod() -1
As the close of today has been used for calculation, we cannot earn the return of today. Our trade decision only earn the return of next day.
BTW, nice example, appreciated for the good job!