fix: Correct get_symbol_returns_from_yahoo

jaycode · twiecki · commit 308ee0113f40 · 2018-03-25T21:09:49.000+02:00
diff --git a/empyrical/utils.py b/empyrical/utils.py
@@ -409,7 +409,10 @@ def get_symbol_returns_from_yahoo(symbol, start=None, end=None):
 
     try:
         px = web.get_data_yahoo(symbol, start=start, end=end)
-        rets = px[['Adj Close']].pct_change().dropna()
+        px['date'] = pd.to_datetime(px['date'])
+        px.set_index('date', drop=False, inplace=True)
+        # rets = px[['Adj Close']].pct_change().dropna()
+        rets = px[['adjclose']].pct_change().dropna()
     except Exception as e:
         warnings.warn(
             'Yahoo Finance read failed: {}, falling back to Google'.format(e),
@@ -421,7 +424,6 @@ def get_symbol_returns_from_yahoo(symbol, start=None, end=None):
     rets.columns = [symbol]
     return rets
 
-
 def default_returns_func(symbol, start=None, end=None):
     """
     Gets returns for a symbol.
