#df = df['2018']

# volatility
df['volatility'] = abs(df['open'] - df['close']) * 0.5
#print(df)

# volatility breakout
#df['breakout'] = np.where(df['high'] > (df['open'] + df['volatility'].shift(1)), 'buy', 'none')
df['ER'] = np.where(df['high'] > (df['open'] + df['volatility'].shift(1)),
                    (df['close'] / (df['open'] + df['volatility'].shift(1))), 1)

result = df['ER'].cumprod().iloc[-1]
print("누적수익률: %.2f 배" % result)