Calculating cumulative returns with pandas dataframe

I have this dataframe

Poloniex_DOGE_BTC   Poloniex_XMR_BTC    Daily_rets  perc_ret
172 0.006085    -0.000839   0.003309    0
173 0.006229    0.002111    0.005135    0
174 0.000000    -0.001651   0.004203    0
175 0.000000    0.007743    0.005313    0
176 0.000000    -0.001013   -0.003466   0
177 0.000000    -0.000550   0.000772    0
178 0.000000    -0.009864   0.001764    0

I’m trying to make a running total of daily_rets in perc_ret

however my code just copies the values from daily_rets

df['perc_ret'] = (  df['Daily_rets'] + df['perc_ret'].shift(1) )


Poloniex_DOGE_BTC   Poloniex_XMR_BTC    Daily_rets  perc_ret
172 0.006085    -0.000839   0.003309    NaN
173 0.006229    0.002111    0.005135    0.005135
174 0.000000    -0.001651   0.004203    0.004203
175 0.000000    0.007743    0.005313    0.005313
176 0.000000    -0.001013   -0.003466   -0.003466
177 0.000000    -0.000550   0.000772    0.000772
178 0.000000    -0.009864   0.001764    0.001764

Answer

If performance is important, use numpy.cumprod:

np.cumprod(1 + df['Daily_rets'].values) - 1

Timings:

#7k rows
df = pd.concat([df] * 1000, ignore_index=True)

In [191]: %timeit np.cumprod(1 + df['Daily_rets'].values) - 1
41 µs ± 282 ns per loop (mean ± std. dev. of 7 runs, 10000 loops each)

In [192]: %timeit (1 + df.Daily_rets).cumprod() - 1
554 µs ± 3.63 µs per loop (mean ± std. dev. of 7 runs, 1000 loops each)

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Answer