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Tip revision: c86e0402260890a3f2b37993c5773bdfac33ae95 authored by Bukosabino on 09 April 2018, 16:42:39 UTC
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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')
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