vect_backtest_twint.py

def vectBacktest(df, thres=.01, short=True):
    """
    Accepts a dataframe of sentiment and log returns. Returns a series of the
    portfolio performance from the backtest.
    """
    
    # Getting the initial positions
    df['positions'] = df['sentiment'].apply(lambda x: getPositions(x,
                                                                   thres=thres,
                                                                   short=short))
    
    # Performing the backtest
    returns = df['positions'] * df['log returns']
    
    # Inversing the log returns and getting daily portfolio balance
    performance = returns.cumsum().apply(np.exp)
    
    # Returning the daily returns and the portfolio performance
    return performance