skfolio.measures.get_cumulative_returns

skfolio.measures.get_cumulative_returns(returns, compounded=False)

Compute the cumulative returns from the returns. Non-compounded cumulative returns start at 0. Compounded cumulative returns are rescaled to start at 1000.

Parameters:

returnsndarray of shape (n_observations,) or (n_observations, n_assets)

Array of return values.

compoundedbool, default=False

If this is set to True, the cumulative returns are compounded otherwise they are uncompounded.

Returns:

values: ndarray of shape (n_observations,) or (n_observations, n_assets)

Cumulative returns.