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feat(Evaluation): added minimal transaction costs to penalize higher turnover (#125)

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Mark Aron Szulyovszky
2022-01-07 18:27:24 +01:00
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parent 78a7fe028e
commit 34105f7ca1
1 changed files with 1 additions and 1 deletions
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utils/evaluate.py
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@@ -6,7 +6,7 @@ from utils.helpers import get_first_valid_return_index
import pandas as pd import pandas as pd
import numpy as np 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.) delta_pos = signal.diff(1).abs().fillna(0.)
costs = transaction_cost * delta_pos costs = transaction_cost * delta_pos
return (signal * returns) - costs return (signal * returns) - costs