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Vectorized computation of cumulative_returns #127

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Aug 2, 2023
Merged

Vectorized computation of cumulative_returns #127

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cea2e5f
Vectorized computation of cumulative_returns rather than row-by-row o…
fmilthaler Aug 2, 2023
1131512
Added type check in cumulative test twice
fmilthaler Aug 2, 2023
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3 changes: 2 additions & 1 deletion finquant/returns.py
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Original file line number Diff line number Diff line change
Expand Up @@ -18,7 +18,8 @@ def cumulative_returns(data, dividend=0):
:Output:
:ret: a ``pandas.DataFrame`` of cumulative Returns of given stock prices.
"""
return data.dropna(axis=0, how="any").apply(lambda x: (x - x[0] + dividend) / x[0])
data = data.dropna(axis=0, how="any")
return ((data - data.iloc[0] + dividend) / data.iloc[0]).astype(np.float64)


def daily_returns(data):
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2 changes: 2 additions & 0 deletions tests/test_returns.py
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Original file line number Diff line number Diff line change
Expand Up @@ -20,6 +20,7 @@ def test_cumulative_returns():
d = {"1": l1, "2": l2}
df = pd.DataFrame(d)
ret = cumulative_returns(df)
assert isinstance(ret, pd.DataFrame) and not ret.empty
assert all(abs(ret["1"].values - orig[0]) <= 1e-15)
assert all(abs(ret["2"].values - orig[1]) <= 1e-15)
# with dividend of 0.2
Expand All @@ -28,6 +29,7 @@ def test_cumulative_returns():
[0.005, -0.02, -0.045, -0.07, -0.095, -0.12, -0.145, -0.17, -0.195, -0.22],
]
ret = cumulative_returns(df, 0.2)
assert isinstance(ret, pd.DataFrame) and not ret.empty
assert all(abs(ret["1"].values - orig[0]) <= 1e-15)
assert all(abs(ret["2"].values - orig[1]) <= 1e-15)

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