compute_strategies_cum_rets.py

# Compute the Buy-and-Hold cumulative returns
plot_data['buy_hold_cum_rets'] = np.exp(plot_data['returns'].cumsum())

# Compute the simple 4-day moving average strategy returns
plot_data['basic_stra_rets'] = plot_data['returns']*plot_data['signal'].shift(1)

# Compute the simple 4-day moving average strategy cumulative returns
plot_data['basic_stra_cum_rets'] = np.exp(plot_data['basic_stra_rets'].cumsum())

# Compute the HMM-DC-based strategy returns
plot_data['hmm_dc_stra_rets'] = plot_data['returns']*plot_data['signal'].shift(1)*plot_data['dc_leverage'].shift(1)

# Compute the HMM-DC-based strategy cumulative returns
plot_data['hmm_dc_stra_cum_rets'] = np.exp(plot_data['hmm_dc_stra_rets'].cumsum())