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@FrederikBussler
Created December 22, 2019 09:12
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Performance
strats = ['returns'] # 19
for col in cols: # 20
strat = 'strategy_%s' % col.split('_')[1] # 21
df[strat] = df[col].shift(1) * df['returns'] # 22
strats.append(strat) # 23
df[strats].dropna().cumsum().apply(np.exp).plot() # 24
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