refactor: extract balance df checks for future reuse

This commit is contained in:
Matthias
2026-04-11 17:05:55 +02:00
parent 6210927bdb
commit fba843cb61
+29 -6
View File
@@ -358,22 +358,45 @@ def _calculate_daily_returns_from_balance(
date_col: str,
balance_col: str,
) -> pd.Series:
wallet = _prepare_balance_history(balance_history, date_col, balance_col)
if len(wallet) == 0:
return pd.DataFrame(columns=[date_col, balance_col])
# Sample balance to daily end-of-day values to normalize variable snapshot frequency.
daily_balance = (
wallet.set_index(date_col)[balance_col].resample("1D").last().dropna().rename(balance_col)
)
daily_balance = daily_balance.reset_index()
if len(daily_balance) < 2:
return pd.Series(dtype=float)
return daily_balance[balance_col].pct_change().dropna()
def _prepare_balance_history(
balance_history: pd.DataFrame,
date_col: str,
balance_col: str,
) -> pd.DataFrame:
"""
Prepare balance history for calculations by filtering out rows with
missing date or balance values.
"""
if (
len(balance_history) == 0
or date_col not in balance_history
or balance_col not in balance_history
):
return pd.Series(dtype=float)
return pd.DataFrame(columns=[date_col, balance_col])
wallet = balance_history.loc[:, [date_col, balance_col]].copy()
wallet = wallet.dropna(subset=[date_col, balance_col]).sort_values(date_col)
if len(wallet) < 2:
return pd.Series(dtype=float)
if len(wallet) == 0:
return pd.DataFrame(columns=[date_col, balance_col])
# Sample balance to daily end-of-day values to normalize variable snapshot frequency.
daily_balance = wallet.set_index(date_col)[balance_col].resample("1D").last().dropna()
return daily_balance.pct_change().dropna()
return wallet
def calculate_sortino(