From 34105f7ca19d28ad9472595ace2613a0bcdceef5 Mon Sep 17 00:00:00 2001 From: Mark Aron Szulyovszky Date: Fri, 7 Jan 2022 18:27:24 +0100 Subject: [PATCH] feat(Evaluation): added minimal transaction costs to penalize higher turnover (#125) --- utils/evaluate.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/utils/evaluate.py b/utils/evaluate.py index 0d4ba2c..e4666d3 100644 --- a/utils/evaluate.py +++ b/utils/evaluate.py @@ -6,7 +6,7 @@ from utils.helpers import get_first_valid_return_index import pandas as pd import numpy as np -def backtest(returns: pd.Series, signal: pd.Series, transaction_cost = 0.00) -> pd.Series: +def backtest(returns: pd.Series, signal: pd.Series, transaction_cost = 0.002) -> pd.Series: delta_pos = signal.diff(1).abs().fillna(0.) costs = transaction_cost * delta_pos return (signal * returns) - costs