wassname/options_backtester
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Keep record of initial capital

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This commit is contained in:
Juan Pablo Amoroso
2019-12-30 18:43:07 -03:00
parent d2963f812b
commit 32b7d7a974
1 changed files with 5 additions and 6 deletions
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backtester/backtester.py
+5 -6
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@@ -7,9 +7,8 @@ from .datahandler import HistoricalOptionsData
class Backtest:
"""Processes signals from the Strategy object"""
def __init__(self, capital=1_000_000):
self.capital = capital
self.initial_capital = self.current_capital = capital
self._strategy = None
self._data = None
self.inventory = pd.DataFrame()
@@ -72,10 +71,10 @@ class Backtest:
"""Executes entry orders and updates `self.inventory` and `self.trade_log`"""
entry, total_price = self._process_entry_signals(entry_signals)
if (not self.stop_if_broke) or (self.capital >= total_price):
if (not self.stop_if_broke) or (self.current_capital >= total_price):
self.inventory = self.inventory.append(entry, ignore_index=True)
self.trade_log = self.trade_log.append(entry, ignore_index=True)
self.capital -= total_price
self.current_capital -= total_price
def _execute_exit(self, exit_signals):
"""Executes exits and updates `self.inventory` and `self.trade_log`"""
@@ -85,7 +84,7 @@ class Backtest:
self.trade_log = self.trade_log.append(exits, ignore_index=True)
self.inventory.drop(self.inventory[exits_mask].index, inplace=True)
self.capital -= sum(total_costs)
self.current_capital -= sum(total_costs)
def _process_entry_signals(self, entry_signals):
"""Returns a dictionary containing the orders to execute."""
@@ -98,4 +97,4 @@ class Backtest:
return entry_signals, 0
def __repr__(self):
return "Backtest(capital={}, strategy={})".format(self.capital, self._strategy)
return "Backtest(capital={}, strategy={})".format(self.current_capital, self._strategy)