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Issue with cagr function in stats #356
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Hey the reason they differ is because the utils_cagr function is incorrectly counting calendar days instead of trading days when identifying the annualization period.
this method will unfortunately count calendar days, when in reality it would be more accurate to count the length of the returns object. hopefully they fix this, I had to do this locally as I was getting incorrect CAGR's. |
Check out https://github.com/Lumiwealth/quantstats_lumi, which is being updated regularly. We are a fork of this library that is being maintained by Lumiwealth |
I believe there is a mistake in the code when the return series is monthly.
I had to amend the periods argument to 365 to get a cagr figure that made sense. I can't help further, i'm not a python developer but was looking to help on this.
Could you kindly implement a fix? Total return is fine instead.
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