perf_returns

Defined in fynance.features.metrics

perf_returns(R, kind='raw', base=100., axis=0, dtype=None)[source]

Compute performance of returns along time axis.

Parameters:
Rnp.ndarray[dtype, ndim=1 or 2]

Time-series of returns.

kind{‘raw’, ‘log’, ‘pct’}

  • If ‘raw’ (default), then considers returns as following \(R_t = X_t - X_{t-1}\).

  • If ‘log’, then considers returns as following \(R_t = log(\frac{X_t}{X_{t-1}})\).

  • If ‘pct’, then considers returns as following \(R_t = \frac{X_t - X_{t-1}}{X_{t-1}}\).

basefloat, optional

Initial value for measure the performance, default is 100.

axis{0, 1}, optional

Axis along wich the computation is done. Default is 0.

dtypenp.dtype, optional

The type of the output array. If dtype is not given, infer the data type from X input.

Returns:
np.ndarray[dtype, ndim=1 or 2]

Performances along time axis.

See also

perf_index, perf_strat

Examples

>>> R = np.array([0., 20., 30., -10., 20., 20., -20.])
>>> perf_returns(R, base=100.)
array([100., 120., 150., 140., 160., 180., 160.])