finds.backtesting.dailyperformance

Evaluate daily returns performance of series of portfolio holdings

Copyright 2022, Terence Lim

MIT License

class finds.backtesting.dailyperformance.DailyPerformance(stocks: Stocks)[source]

Bases: object

Compute daily realized returns on periodic holdings

Parameters:

stocks – Stocks returns dataset

__call__(holdings: Dict[int, Series], end: int) → Series[source]

Return series of daily returns through end date

Parameters:

  • holdings – dict (key is int date) of holdings Series (index is permno)

  • end – Last date of daily returns to compute performance for

Returns:

Series of daily realized portfolio returns