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I believe a more accurate calculation for calculating compounded returns would be something like
(1 + ret).cumprod() - 1
or
[ x - 1 for x in np.cumprod[ x + 1 for x in strat ] ]
@guil-lambert I've only looked at this briefly so I could be totally off base, but it appears as if you are trying to sum up simple returns.
Returns:
" strat.append((endX*currentsqrtPrice**2+endY - startX*startPrice - startY)/2/positionSize)\n",Compounding via
cumsum: https://github.com/panoptic-labs/research/blob/4e463cd9e8d421a067d25f1b2fbf1f39b3edac03/_research-bites/20230112/ResearchBites-20230112-Autoroll.ipynb?short_path=c0c4987#L184I believe a more accurate calculation for calculating compounded returns would be something like
(1 + ret).cumprod() - 1or[ x - 1 for x in np.cumprod[ x + 1 for x in strat ] ]