def buy_and_hold_return(self):
"""Total return of buying and holding.
!!! note:
Does not take into account fees and slippage. For this, create a separate portfolio."""
returns = generic_nb.pct_change_nb(self.main_price.vbt.to_2d_array())
return self.wrapper.wrap(returns).vbt.returns.total()
def returns(self):
"""Portfolio return series."""
equity = self.equity.vbt.to_2d_array()
returns = generic_nb.pct_change_nb(equity)
init_capital = reshape_fns.to_1d(self.init_capital, raw=True)
returns[0, :] = (equity[0, :] - init_capital) / init_capital
return self.wrapper.wrap(returns)
def returns(self):
"""Portfolio return series."""
equity = self.equity.vbt.to_2d_array()
returns = generic_nb.pct_change_nb(equity)
init_capital = reshape_fns.to_1d(self.init_capital, raw=True)
returns[0, :] = (equity[0, :] - init_capital
) / init_capital # initial capital is one tick before
returns[np.isnan(returns)] = 0. # can happen if later price is unknown
return self.wrapper.wrap(returns)