create_arma_strategy_returns.py

# Create the signal
df_results['signal'] = np.where(df_results['forecast']>=0.0,1,-1)  

# Create the Buy and Hold returns
df_results['returns'] = np.log(df_results['Close']/df_results['Close'].shift(1))

# Create the Buy and Hold cumulative returns
df_results['Benchmark'] = df_results['returns'].cumsum()

# Create the strategy returns
df_results['Stra_cum_returns'] = (df_results['signal'] * df_results['returns']).cumsum()