How can I add benchmark daily_returns to results df?

[EcoFin]

Dear Zipline Maintainers,

Before I tell you about my issue, let me describe my environment:

Environment

Win 10 x64 zipline-reloaded 2.0.0rc4; Norgate data source

Now that you know a little about me, let me tell you about the issue I am having:

Description of Issue

This is a problem with me, not with zipline-reloaded which I have working quite well now!.

I can't figure out a way to add daily returns for a benchmark asset (that is already in the ingested bundle) to the results of run_algorithm.

1. in initialize, do set_benchmark(symbol('$SPX'))
2. results df reports benchmark_period_return and benchmark_volatility

but I need daily returns too.

I know I could (i) download them from an external web source, (ii) create them from an existing csv file or (iii) get them directly from my Norgate database.

But those aren't elegant solutions and the data series is already in the ingested bundle. There has got to be an easy way that I just can't see to identify them to run_algorithm:

run_algorithm(..., benchmark_returns = [what to put here?] ...)

It seems to me that BenchmarkReturnsAndVolatility calculates, but doesn't return, the daily_returns.

What steps have you taken to resolve this already?

I have looked high and low for a working example without success, have read all the relevant code and documentation and have tried everything I can think of myself without hitting on a working solution.

Anything else?

I'm just not as good at python as I would like to be.

Sincerely,
arthur

[AnilG3]

In analyze section, consider writing code to calculate daily_returns

daily_returns = (1 + benchmark_period_return) / (1 + benchmark_period_return.shift()) - 1

[stefan-jansen]

Closing for now due to lack of activity.