BUG: Fix CAGR and annualized return calculations#1346
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blue-int wants to merge 1 commit intokernc:masterfrom
Open
BUG: Fix CAGR and annualized return calculations#1346blue-int wants to merge 1 commit intokernc:masterfrom
blue-int wants to merge 1 commit intokernc:masterfrom
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CAGR was dividing calendar days by `annual_trading_days` (e.g. 252) instead of 365.25, inflating the time period and underreporting CAGR. For weekly/monthly data this was drastically wrong (e.g. 365/52=7 years instead of 1 year). Return (Ann.) was slightly underestimated because `pct_change()` produces a leading NaN that `geometric_mean()` counted in the denominator via `fillna(0)`, diluting the geometric mean. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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Summary
time_in_yearswas computed by dividing calendar days byannual_trading_days(e.g. 252, 52, 12) instead of 365.25. This inflated the time period and underreported CAGR. For weekly/monthly data, results were drastically wrong (e.g. 365/52 = 7 years instead of ~1 year).pct_change()produces a leading NaN thatgeometric_mean()counted in the denominator viafillna(0), slightly diluting the geometric mean and underestimating annualized return.After the fix, CAGR and Return (Ann.) are now consistent with each other as expected (21.16% vs 21.19% on GOOG SmaCross, previously 14.16% vs 21.18%).
Test plan
test_compute_statstest_FractionalBacktestis a pre-existing failure unrelated to this change)🤖 Generated with Claude Code