Lirsen Myrtaj handepeh commited on
Commit
50fc61a
1 Parent(s): 9cfb4b8

Update sharp_ratio.py (#57)

Browse files

- Update sharp_ratio.py (e0c9b1756021243c61d0295fa73d8e730dac1f62)


Co-authored-by: handepehlivan <handepeh@users.noreply.huggingface.co>

Files changed (1) hide show
  1. sharp_ratio.py +2 -1
sharp_ratio.py CHANGED
@@ -11,7 +11,8 @@ def cumulative_return(stocks,choices):
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  symbols, weights, investing_style, benchmark, rf, A_coef = choices.values()
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  tkers = sorted(set(stocks['Ticker'].unique()))
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  #preprocess
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- stocks = stocks.pivot(index="Date", columns="Ticker", values="Adj. Close")
 
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  logRet = np.log(stocks/stocks.shift())
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  log_returns = np.log(stocks/stocks.shift())
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  tickers_list = symbols.copy()
 
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  symbols, weights, investing_style, benchmark, rf, A_coef = choices.values()
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  tkers = sorted(set(stocks['Ticker'].unique()))
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  #preprocess
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+ #stocks = stocks.pivot(index="Date", columns="Ticker", values="Adj. Close")
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+
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  logRet = np.log(stocks/stocks.shift())
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  log_returns = np.log(stocks/stocks.shift())
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  tickers_list = symbols.copy()