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chrisconlan / algorithmic-trading-with-python

Source code for Algorithmic Trading with Python (2020) by Chris Conlan
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get_years_past() clarification #11

Open kmcminn opened 3 years ago

kmcminn commented 3 years ago

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
chrisconlan commented 2 years ago

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.