diff options
Diffstat (limited to 'python/exploration/curve_trades.py')
| -rw-r--r-- | python/exploration/curve_trades.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/exploration/curve_trades.py b/python/exploration/curve_trades.py index 470d82d6..310cc9a6 100644 --- a/python/exploration/curve_trades.py +++ b/python/exploration/curve_trades.py @@ -95,7 +95,7 @@ def curve_returns(index='IG', rolling=6): '3-5': returns['5yr'] - 1.56 * returns['3yr'], '3-7': returns['7yr'] - 2.07 * returns['3yr']}) strategies_return_monthly = (strategies_return. - groupby(pd.TimeGrouper(freq='M')). + groupby(pd.Grouper(freq='M')). agg(lambda df: (1 + df).prod() - 1)) def sharpe(df, period="daily"): @@ -123,7 +123,7 @@ def cross_series_curve(index='IG', rolling=6): price_diff = price_diff.stack().groupby(level = 'date').nth(-1) monthly_returns_cross_series = (price_diff. - groupby(pd.TimeGrouper(freq='M')). + groupby(pd.Grouper(freq='M')). agg(lambda df: (1 + df).prod() - 1)) plt.plot(monthly_returns_cross_series) |