wassname/options_backtester
1
0
Fork 0
mirror of https://github.com/wassname/options_backtester.git synced 2026-07-24 13:10:37 +08:00
Code Issues Packages Projects Releases Wiki Activity

Fixed avg P&L giving incorrect values

Browse Source
This commit is contained in:
Javier Rodríguez Chatruc
2020-01-14 15:32:25 -03:00
parent 8af11e5f6a
commit 20d06f83f7
1 changed files with 3 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backtester/backtester.py
+3 -2
View File
@@ -144,11 +144,12 @@ class Backtest:
def summary(self):
"""Returns a table with summary statistics about the trade log"""
df = self.trade_log
balance = self.balance
df.loc[:,
('totals',
'capital')] = (-df['totals']['cost'] * df['totals']['qty']).cumsum() + self._strategy.initial_capital
daily_returns = df.groupby(('totals', 'date')).last()['totals']['capital'].pct_change() * 100
daily_returns = balance['% change'] * 100
first_leg = self._strategy.legs[0].name
@@ -181,7 +182,7 @@ class Backtest:
loss_number = total_trades - win_number
win_pct = (win_number / total_trades) * 100
largest_loss = np.max(costs)
avg_profit = np.sum(-costs) / len(costs)
avg_profit = np.mean(-costs)
avg_pl = np.mean(daily_returns)
total_pl = (df['totals']['capital'].iloc[-1] / self._strategy.initial_capital) * 100