Remove np.log preprocessing from individual return series #394
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This commit strips out the np.log transformation on rets_1, rets_2, and rets_3, switching them to raw arithmetic returns via `.pct_change().dropna()` in line with conventional portfolio return, volatility, and Sharpe ratio calculations. No downstream functions were altered—they will now consume raw returns directly. Note: log‐returns are still valuable for their multiplicative additivity. In future updates, np.log should only be applied once to the AGGREGATED portfolio return (i.e. after the dot‐product of weights and raw returns) to avoid nonlinear distortions at the per‐asset level. Solves spyder-ide#393
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Description of Changes
This commit strips out the np.log transformation on rets_1, rets_2, and rets_3,
switching them to raw arithmetic returns via
.pct_change().dropna()in linewith conventional portfolio return, volatility, and Sharpe ratio calculations.
No downstream functions were altered—they will now consume raw returns directly.
Note: log‐returns are still valuable for their multiplicative additivity. In
future updates, np.log should only be applied once to the AGGREGATED portfolio
return (i.e. after the dot‐product of weights and raw returns) to avoid
nonlinear distortions at the per‐asset level.
Issue(s) Resolved
Fixes #393