tradetools.py 文件源码

def value2ret(values):
    if len(values.shape) == 1:
        prevalues = np.append(np.NAN, values[0:-1])
        returns = (values - prevalues) / prevalues
        returns[np.isinf(returns)] = np.NAN
    else:
        prevalues = np.r_[
            np.tile(np.NAN, (1, values.shape[1])), values[0:-1, :]]
        returns = (values - prevalues) / prevalues
        returns[np.isinf(returns)] = np.NAN
    return returns