calculate_aggregate_returns#

calculate_aggregate_returns(equity_curve, freq='BM')[source]#

Calculate strategy aggregatd results over different timespans.

Good to calculate

  • Monthly returns

  • Quaterly returns

See Aggregate return for more information what this metric represents.

Note

There are multiple ways to calculate aggregated returns and they give a bit different results. See this article for details: https://quantdare.com/calculate-monthly-returns-with-pandas/

Note

The current simplicist method does not calculate returns for the first and last period.

Parameters:
Returns:

Monthly returns for each month.

The array is keyed by the end date of the period e.g. July is 2021-07-31.

The first month can be incomplete, so its value is NaN.

Return type:

Series