Merge pull request #282 from Jo2234/fix/sortino-ratio-and-log-returns

timkpaine · web-flow · commit d9202e3c567b · 2026-02-28T05:35:45.000-05:00
fix: use log1p(pct_change()) in to_log_returns for NaN-safe computation
diff --git a/ffn/core.py b/ffn/core.py
@@ -1146,7 +1146,7 @@ def to_log_returns(prices):
         * prices: Expects a price series
 
     """
-    return np.log(prices / prices.shift(1))
+    return np.log1p(prices.pct_change())
 
 
 def to_price_index(returns, start=100):
