algorithmic-trading-with-python icon indicating copy to clipboard operation
algorithmic-trading-with-python copied to clipboard

get_years_past() clarification

Open kmcminn opened this issue 4 years ago • 1 comments

trying to unpack this. pd.Series.index returns integers when I pass a log return series to this function and thus (end_date - start_date) evaluates to a single element tuple

def get_years_past(series: pd.Series) -> float:
    """
    Calculate the years past according to the index of the series for use with
    functions that require annualization   
    """
    start_date = series.index[0]
    end_date = series.index[-1]
    return (end_date - start_date).days / 365.25
    ```

kmcminn avatar Sep 08 '21 03:09 kmcminn

Hey there, sorry for the late reply. The output of this function is intended to be a precise and easy-to-access annualization factor for metrics like the Sharpe ratio that require it.

chrisconlan avatar May 03 '22 16:05 chrisconlan