Assume you're short AAPL. Say you sold short at 24.28 as of 2016-01-01 and cover 2021-09-13 on 149.74. So your return is (24.28-149.74)/24.28 or -517%.
If you get the daily returns of AAPL and just reverse the sign, then do a cumulative return, you instead get -90.2%. Obviously the correct number is -517% since as your short underperforms the position gets bigger since you need more cash to cover your position. So is it wrong to use cumulative returns in this context?
import pandas as pd price_data = yf.download(['AAPL', 'SPY'], '2010-01-01') y = price_data.loc['2016-01-01':]['Adj Close']['AAPL'].pct_change().dropna() np.exp(np.log(1 + y.values).cumsum())[-1] - 1