wassname/options_backtester
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Fixed total capital's first value being NaN

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Javier Rodríguez Chatruc
2020-03-04 15:51:51 -03:00
parent 0def0373b6
commit 262e2aad0d
1 changed files with 3 additions and 2 deletions
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backtester/backtester.py
+3 -2
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@@ -127,8 +127,9 @@ class Backtest:
self.balance['options capital'] = self.balance['calls capital'] + self.balance['puts capital']
self.balance['stocks capital'] = sum(self.balance[stock.symbol] for stock in self._stocks)
self.balance[
'total capital'] = self.balance['options capital'] + self.balance['stocks capital'] + self.balance['cash']
self.balance['total capital'] = self.balance['cash'].add(self.balance['stocks capital'],
self.balance['options capital'],
fill_value=0)
self.balance['% change'] = self.balance['total capital'].pct_change()
self.balance['accumulated return'] = (1.0 + self.balance['% change']).cumprod()