qis.compute_ewm_ra_returns_momentum

qis.compute_ewm_ra_returns_momentum(returns, momentum_span=63, momentum_lambda=None, vol_span=31, vol_lambda=None, weight_shift=1)

span = 1: daily ra returns

Parameters:

• returns (Series | DataFrame)

• momentum_span (int)

• momentum_lambda (float | ndarray | None)

• vol_span (float | ndarray)

• vol_lambda (float | ndarray | None)

• weight_shift (int | None)

Return type:

Series | DataFrame