stats.py 文件源码

def annual_return(returns, period=DAILY, annualization=None):
    """Determines the mean annual growth rate of returns.

    Parameters
    ----------
    returns : pd.Series or np.ndarray
        Periodic returns of the strategy, noncumulative.
        - See full explanation in :func:`~empyrical.stats.cum_returns`.
    period : str, optional
        Defines the periodicity of the 'returns' data for purposes of
        annualizing. Value ignored if `annualization` parameter is specified.
        Defaults are:
            'monthly':12
            'weekly': 52
            'daily': 252
    annualization : int, optional
        Used to suppress default values available in `period` to convert
        returns into annual returns. Value should be the annual frequency of
        `returns`.

    Returns
    -------
    float
        Annual Return as CAGR (Compounded Annual Growth Rate).

    """

    if len(returns) < 1:
        return np.nan

    ann_factor = annualization_factor(period, annualization)

    num_years = float(len(returns)) / ann_factor
    start_value = 100
    # Pass array to ensure index -1 looks up successfully.
    end_value = cum_returns(np.asanyarray(returns),
                            starting_value=start_value)[-1]
    cum_returns_final = (end_value - start_value) / start_value
    annual_return = (1. + cum_returns_final) ** (1. / num_years) - 1

    return annual_return