We now have all the weekly returns based upon our strategy. We can calculate the overall net percentage return of the investments at the end by applying the cumulative product of 1 + base.ret0 (the return of each week) and then subtracting 1 from the cumulative product:
In [23]: base['cumret0'] = (1 + base.ret0).cumprod() - 1 base['cumret1'] = (1 + base.ret1).cumprod() - 1 base[['cumret0', 'cumret1']] Out[23]: cumret0 cumret1 GoogleWE 2004-01-10 0.00000 0.00000 2004-01-17 0.00000 0.00000 2004-01-24 0.00000 0.00000 2004-01-31 -0.00760 -0.00760 2004-02-07 0.00515 0.00515 ... ... ... 2011-01-29 2.70149 0.84652 2011-02-05 2.73394 0.86271 2011-02-12 2.71707 0.85430 2011-02-19 2.72118 0.85225 2011-02-26 NaN NaN [373 rows x 2 columns]
At the end of our run of this strategy, we can see that we have made a profit. We now...