https://github.com/bukosabino/ta
Tip revision: c86e0402260890a3f2b37993c5773bdfac33ae95 authored by Bukosabino on 09 April 2018, 16:42:39 UTC
readme
readme
Tip revision: c86e040
others.py
import pandas as pd
def daily_return(close, fillna=False):
"""Daily Return (DR)
Args:
close(pandas.Series): dataset 'Close' column.
fillna(bool): if True, fill nan values.
Returns:
pandas.Series: New feature generated.
"""
dr = (close / close.shift(1)) - 1
dr *= 100
if fillna:
dr = dr.fillna(0)
return pd.Series(dr, name='d_ret')
def cumulative_return(close, fillna=False):
"""Cumulative Return (CR)
Args:
close(pandas.Series): dataset 'Close' column.
fillna(bool): if True, fill nan values.
Returns:
pandas.Series: New feature generated.
"""
cr = (close / close.iloc[0]) - 1
cr *= 100
if fillna:
cr = cr.fillna(method='backfill')
return pd.Series(cr, name='cum_ret')