Logarithmic returns in pandas dataframe

Here is one way to calculate log return using .shift(). And the result is similar to but not the same as the gross return calculated by pct_change(). Can you upload a copy of your sample data (dropbox share link) to reproduce the inconsistency you saw?

import pandas as pd
import numpy as np

np.random.seed(0)
df = pd.DataFrame(100 + np.random.randn(100).cumsum(), columns=['price'])
df['pct_change'] = df.price.pct_change()
df['log_ret'] = np.log(df.price) - np.log(df.price.shift(1))

Out[56]: 
       price  pct_change  log_ret
0   101.7641         NaN      NaN
1   102.1642      0.0039   0.0039
2   103.1429      0.0096   0.0095
3   105.3838      0.0217   0.0215
4   107.2514      0.0177   0.0176
5   106.2741     -0.0091  -0.0092
6   107.2242      0.0089   0.0089
7   107.0729     -0.0014  -0.0014
..       ...         ...      ...
92  101.6160      0.0021   0.0021
93  102.5926      0.0096   0.0096
94  102.9490      0.0035   0.0035
95  103.6555      0.0069   0.0068
96  103.6660      0.0001   0.0001
97  105.4519      0.0172   0.0171
98  105.5788      0.0012   0.0012
99  105.9808      0.0038   0.0038

[100 rows x 3 columns]

Log returns are simply the natural log of 1 plus the arithmetic return. So how about this?

df['pct_change'] = df.price.pct_change()
df['log_return'] = np.log(1 + df.pct_change)

Even more concise, utilizing Ximix's suggestion:

df['log_return'] = np.log1p(df.price.pct_change())

Tags:

Python

Pandas