Wiki

This is an old revision of the document!

---

# coding: utf-8
import timeit
def calc_returns ():
    df['returns'] = df['close'] / df['close'].shift(1)
    #df['cum_returns'] = df['returns'].cumprod()
    cum_returns = df['returns'].prod()
def calc_log_returns ():
    df['log_returns'] = np.log( df['close'] / df['close'].shift(1) )
    #df['cum_log_returns'] = np.exp(df['log_returns'].cumsum())
    cum_log_returns = np.exp( df['log_returns'].sum() )
print(timeit.timeit(stmt='calc_returns()',setup='from __main__ import calc_returns',number=10000))
print(timeit.timeit(stmt='calc_log_returns()',setup='from __main__ import calc_log_returns',number=10000))