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HumanRupert/algo.py

Created June 11, 2021 15:10
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algo.py
def get_benchmark_returns() -> pd.Series:
bench = yf.Ticker(BENCHMARK)
bench_hist = bench_hist.history(start=START, end=END, auto_adjust=True).tz_localize("UTC")
returns = pd.Series(bench_hist["Close"].pct_change().values, index=bench_hist.index).dropna()
returns.index.names = ["date"]
return returns
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