Clash Royale CLAN TAG#URR8PPP

Using cumprod() to caclulate equity curve in Python

I am having difficulty calculating a compounding return using cumprod(). It starts compounding from the very beginning, but I only want it to start when 'Final_Order' equals buy and stop when 'Final_Order equal sell, and then reset again on the next buy order. Please see the example below.

Sample data below shows the output I expect to see for column 'Backtest'.

Time Adj_Price Final_Order Backtest
0 7 nan 1000
1 6 nan 1000
2 5 Buy 1000
3 7 Buy 1400
4 8 Sell 1600
5 6 Sell 1600
6 4 Buy 1600
7 5 Buy 2000
8 7 Buy 2800
9 9 Sell 3600
10 7 Sell 3600
11 7 Sell 3600
12 6 Sell 3600


Below are calculations for 'Backtest'.

Below is the code I am working with.

data['Backtest'] = np.where(data['Final_Order'] == 'Buy',
((1 + data['Adj
Close'].pct_change(1)).cumprod())*1000,
data['Backtest'].ffill())


What is benchmark?
– Mad Physicist
31 mins ago

Should say 'Backtest', not benchmark. I have made the correction
– mark
30 mins ago

t9 is sell. How do you get 3600??
– Onyambu
26 mins ago

t9

@Onyambu It is based on the previous day's 'Final_Order'. The price is based on Closing price, so I technically wouldnt sell until the following morning. In the IF statements, you'll see that Final_Order = Buy(t8).
– mark
21 mins ago

where are you getting the else values from? or the values you are using to compute eg 1000,1400,1600 etc where do you get them from?
– Onyambu
10 mins ago

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