Add a new rolling type Cumulative Performance: df = (1.0 + df).cumprod() - 1.0 #8379
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## master #8379 +/- ##
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- Coverage 67.57% 67.57% -0.01%
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Files 448 448
Lines 22527 22529 +2
Branches 2364 2364
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+ Hits 15222 15223 +1
- Misses 7167 7168 +1
Partials 138 138
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| elif rolling_type == "cumsum": | ||
| df = df.cumsum() | ||
| elif rolling_type == "cumperf": | ||
| df = (1.0 + df).cumprod() - 1.0 |
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Looking at the formula, I wonder if cumret, as in cumulative return, would be more appropriate?
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Any update on this feature ? It could be very interesting to simplify the computation of cumulative return |
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SUMMARY
Add the rolling type Cumulative Performance:
cumperf = df = (1.0 + df).cumprod() - 1.0
This is used for example to calculate the performance of an investment portfolio over a period of time.