Function _prepare_returns

quantstats/utils.py:207–235

Converts price data into returns + cleanup

(data, rf=0.0, nperiods=None)

def _prepare_returns(data, rf=0.0, nperiods=None):
    """Converts price data into returns + cleanup"""
    data = data.copy()
    function = inspect.stack()[1][3]
    if isinstance(data, _pd.DataFrame):
        for col in data.columns:
            if data[col].dropna().min() >= 0 and data[col].dropna().max() > 1:
                data[col] = data[col].pct_change()
    elif data.min() >= 0 and data.max() > 1:
        data = data.pct_change()

    # cleanup data
    data = data.replace([_np.inf, -_np.inf], float("NaN"))

    if isinstance(data, (_pd.DataFrame, _pd.Series)):
        data = data.fillna(0).replace([_np.inf, -_np.inf], float("NaN"))
    unnecessary_function_calls = [
        "_prepare_benchmark",
        "cagr",
        "gain_to_pain_ratio",
        "rolling_volatility",
    ]

    if function not in unnecessary_function_calls:
        if rf > 0:
            return to_excess_returns(data, rf, nperiods)

    data = data.tz_localize(None)
    return data


def download_returns(ticker, period="max", proxy=None):