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@ -328,11 +328,17 @@ class TimeSeries(TimeSeriesCore): |
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as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest) |
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current = _find_closest_date(self, as_on, closest_max_days, as_on_delta, if_not_found) |
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prev_date = as_on - relativedelta(**{return_period_unit: return_period_value}) |
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if current[1] != str("nan"): |
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previous = _find_closest_date(self, prev_date, closest_max_days, prior_delta, if_not_found) |
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if current[1] == str("nan") or previous[1] == str("nan"): |
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if ( |
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current[1] == str("nan") |
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or previous[1] == str("nan") |
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or current[0] == str("nan") |
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or previous[0] == str("nan") |
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): |
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return as_on, float("NaN") |
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returns = current[1] / previous[1] |
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@ -593,7 +599,7 @@ class TimeSeries(TimeSeriesCore): |
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kwargs["to_date"] = kwargs.get("to_date", self.end_date) |
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rr = self.calculate_rolling_returns(**kwargs) |
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mean_rr = statistics.mean(rr.values) |
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mean_rr = statistics.mean(filter(lambda x: str(x) != "nan", rr.values)) |
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if annualise_returns: |
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mean_rr = (1 + mean_rr) ** (1 / years) - 1 |
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