INNER CODE UNIT · Python
prices_to_returns
dmarienko/QuantTradingResearch · models/helpers.py:27
def prices_to_returns(prices):
return prices.pct_change()[1:] # drop first inf
def returns_to_prices(rets):
return (rets + 1).cumprod() - 1
def norm(x):
return x / x.iloc[0]
class Model:
"""
Abstract class for any tracking models
"""
def __init__(self, description=None):
self.description = description