Calculating returns from a dataframe with financial data

Question

I have a dataframe with monthly financial data:

In [89]: vfiax_monthly.head()
Out[89]: 
            year  month  day       d   open  close   high    low  volume          


        

Answer 1

Instead of slicing, use .shift to move the index position of values in a DataFrame/Series. For example:

returns = (vfiax_monthly.open - vfiax_monthly.open.shift(1))/vfiax_monthly.open.shift(1)

This is what pct_change is doing under the bonnet. You can also use it for other functions e.g.:

(3*vfiax_monthly.open + 2*vfiax_monthly.open.shift(1))/5

You might also want to looking into the rolling and window functions for other types of analysis of financial data.