cumulative annual return

cumulative_return.py

from collections import deque
import numpy as np

def cumulative_return(x: np.ndarray) -> np.ndarray:
    """Calculate the cumulative annual return from monthly fluctuations
    Args:
        x: an 1D array, each item is a float showing proportion of change of investment in that month
    Returns:
        an 1D array, each item is the annual rate of change (return) for the 12 previous months
    """
    x1 = x + 1
    window = deque([x1[0]], maxlen=12)
    result = [x1[0]]
    for item in x1[1:]:
        if len(window) == 12:
            past = window.popleft()
            result.append(result[-1] * item / past)
        else:
            result.append(result[-1] * item)
        window.append(item)
    return np.subtract(result, 1)