reports.metrics failed to calculate Omega: KeyError: 'returns'

[josephchenhk]

There is a bug in the current release (0.0.63 & 0.0.64):

In line 862 of reports.py, when calculating Omega, the passing param is df['returns']. However, when passing a returns with multiple columns, the column names are converted to ['returns_1', 'returns_2', ...]. Therefore we will see the error below:

File /opt/kernel/lib/python3.9/site-packages/quantstats/reports.py:862, in metrics(returns, benchmark, rf, display, mode, sep, compounded, periods_per_year, prepare_returns, match_dates, **kwargs)
    860     metrics["Smart Sortino/√2"] = metrics["Smart Sortino"] / _sqrt(2)
    861     # metrics['Prob. Smart Sortino/√2 Ratio %'] = _stats.probabilistic_adjusted_sortino_ratio(df, rf, win_year, False, True) * pct
--> 862 metrics["Omega"] = _stats.omega(df["returns"], rf, 0.0, win_year)
    864 metrics["~~~~~~~~"] = blank
    865 metrics["Max Drawdown %"] = blank

File /opt/kernel/lib/python3.9/site-packages/pandas/core/frame.py:3807, in DataFrame.__getitem__(self, key)
   3805 if self.columns.nlevels > 1:
   3806     return self._getitem_multilevel(key)
-> 3807 indexer = self.columns.get_loc(key)
   3808 if is_integer(indexer):
   3809     indexer = [indexer]

File /opt/kernel/lib/python3.9/site-packages/pandas/core/indexes/base.py:3804, in Index.get_loc(self, key, method, tolerance)
   3802     return self._engine.get_loc(casted_key)
   3803 except KeyError as err:
-> 3804     raise KeyError(key) from err
   3805 except TypeError:
   3806     # If we have a listlike key, _check_indexing_error will raise
   3807     #  InvalidIndexError. Otherwise we fall through and re-raise
   3808     #  the TypeError.
   3809     self._check_indexing_error(key)

KeyError: 'returns'