45 lines
3.1 KiB
Plaintext
45 lines
3.1 KiB
Plaintext
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gŒ³g’
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ã ó& — d dl Zd dlZdd„Zdd„ZdS )é Nç-C ëâ6*?c óL — t | ¦ « t |¦ « k rt d¦ « ‚d|j vrt d¦ « ‚|d ¦ « d¦ « |d< t j t | ¦ « ¦ « }d}t t | ¦ « ¦ « D ]K}| | |d j | z ||< |dk r | | |k r||xx |z cc< | | }ŒLd|z ¦ « dz
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}|dz }||fS )aj
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A simple backtest function that simulates trading based on signals (+1/-1/0).
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Parameters
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----------
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signals : array-like of int
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Sequence of +1, -1, or 0 indicating long, short, or flat.
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df : pd.DataFrame
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Must contain at least a 'close' column with the same length as 'signals'.
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cost : float
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Transaction cost fraction per position change (e.g. 0.0002 = 0.02%).
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Returns
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-------
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daily_returns : np.array
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The sequence of returns from the strategy for each bar.
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total_return : float
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The total percentage return (e.g., 10.0 = +10%).
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z*Length of signals must match length of df.Úclosez!df must contain a 'close' column.r Ú price_returné g Y@)
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ÚlenÚ
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ValueErrorÚcolumnsÚ
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pct_changeÚfillnaÚnpÚzerosÚrangeÚilocÚprod)ÚsignalsÚdfÚcostÚ
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daily_returnsÚ prev_signalÚiÚcumulative_returnÚ total_returns úCc:\Users\moham\OneDrive\ml_bot_trading\backtests\simple_backtest.pyÚsimulate_tradingr s< € õ( ˆ7�|„|•s˜2‘w”wÒ Ð ÝÐEÑFÔFÐFØ�b”jÐ Ð ÝÐ<Ñ=Ô=Ð=ð ˜Gœ×/Ò/Ñ1Ô1×8Ò8¸Ñ;Ô;€B€~Ñõ
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”H�S ™\œ\Ñ*Ô*€Mà€KÝ
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•3�w‘<”<Ñ
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Ô
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ð !ð !ˆà" 1œ:¨¨>Ô(:Ô(?ÀÔ(BÑBˆ
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�aÑð
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ˆqŠ5ˆ5�W˜Q”Z ;Ò.Ð.à ˜!Ð Ð Ô Ñ $Ð Ð Ñ Ø ˜a”jˆ ˆ ð ˜]Ñ*×0Ò0Ñ2Ô2°QÑ6ÐØ$ uÑ,€Là ˜,Ð &Ð&ó ç c ó¶ — t j | ¦ « } | |z
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}t j |¦ « }t j |¦ « }|dk r t j S ||z }|S )a®
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Calculates a simple Sharpe ratio for a series of returns.
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Parameters
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----------
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returns : list or np.array
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A sequence of returns per bar/day.
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risk_free : float, optional
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Risk-free rate per bar/day, default is 0.0 (no risk-free rate).
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Returns
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-------
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float
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