Compute a compounded return series in Python

Question

Greetings all, I have two series of data: daily raw stock price returns (positive or negative floats) and trade signals (buy=1, sell=-1, no trade=0).

The raw price retur

Answer 1

The cumulative return part of this question is dealt with in Wes McKinney's excellent 'Python for Data Analysis' book on page 339, and uses cumprod() from Pandas to create a rebased/indexed cumulative return from calculated price changes.

Example from book:

import pandas.io.data as web

price = web.get_data_yahoo('AAPL', '2011-01-01')['Adj Close']

returns = price.pct_change()

ret_index = (1 + returns).cumprod()

ret_index[0] = 1 # Set first value to 1