Fix return calculations for pandas 0.23.*

There was a bug introduced in pandas 0.23.* using pct_change() on a
groupby. Details at pandas-dev/pandas#21200

Author: matthewgilbert

strategy/strategy.py

@@ -18,6 +18,16 @@
 WARNINGS = "default"
 
 
+# non vectorized, related to
+# https://github.com/pandas-dev/pandas/issues/21200
+if pd.__version__.startswith("0.23."):
+    def calc_returns(s):
+        return s.groupby(level=1).apply(lambda x: x.pct_change())
+else:
+    def calc_returns(s):
+        return s.groupby(level=1).pct_change()
+
+
 class Exposures():
     """
     A data container for market data on equities and futures instruments.
@@ -752,8 +762,7 @@ def continuous_rets(self):
 
         irets = {}
         for ast in self._exposures.root_futures:
-            irets[ast] = (self._exposures.prices[ast].settle
-                          .groupby(level=1).pct_change())
+            irets[ast] = calc_returns(self._exposures.prices[ast].settle)
 
         if irets:
             weights = self.instrument_weights()

tests/test_strategy.py

@@ -2,6 +2,7 @@
 from strategy.strategy import Exposures
 import strategy.strategy as strat
 import pandas as pd
+import numpy as np
 import unittest
 from collections import namedtuple
 import os
@@ -350,3 +351,14 @@ def test_simulation_fungible_reinvest_futures(self):
 
         exp_sim_res = self.make_container(hlds_exp, trds_exp, pnls_exp)
         self.assert_simulation_equal(sim_res, exp_sim_res)
+
+    def test_return_calculations(self):
+        # https://github.com/pandas-dev/pandas/issues/21200
+        idx = pd.MultiIndex.from_product(
+            [pd.date_range("2015-01-01", "2015-01-03"), ["A1", "A2"]]
+        )
+        s = pd.Series([1, 3, 1.5, 1.5, 3, 4.5], index=idx)
+
+        rets = strat.calc_returns(s)
+        rets_exp = pd.Series([np.NaN, np.NaN, 0.5, -0.5, 1, 2], index=idx)
+        assert_series_equal(rets, rets_exp)