okama.AssetList.get_rolling_cumulative_return

AssetList.get_rolling_cumulative_return(window=12, real=False)

Calculate rolling cumulative return for each asset.

The cumulative return is the total change in the asset price.

Parameters:

windowint, default 12

Size of the moving window in months.

real: bool, default False

Cumulative return is adjusted for inflation (real cumulative return) if True. AssetList should be initiated with Inflation=True for real cumulative return.

Returns:

DataFrame

Time series of rolling cumulative return.

See also

get_rolling_cagr

Calculate rolling CAGR.

get_cagr

Calculate CAGR.

get_cumulative_return

Calculate cumulative return.

annual_return

Calculate annualized mean return (arithmetic mean).

Examples

>>> import matplotlib.pyplot as plt
>>> x = ok.AssetList(['SPY.US', 'AGG.US'], ccy='USD', inflation=True)
>>> x.get_rolling_cumulative_return(window=5*12).plot()
>>> plt.show()

For inflation adjusted rolling cumulative return add ‘real=True’ option:

>>> x.get_rolling_cumulative_return(window=5*12, real=True).plot()
>>> plt.show()