From 580500a46abe106ffc584d1cd0677868432a3cf7 Mon Sep 17 00:00:00 2001 From: Mark Aron Szulyovszky Date: Tue, 11 Jan 2022 12:41:02 +0100 Subject: [PATCH] feat(Evaluation): adjusted transaction costs to be more realistic 0.3% (#150) --- utils/evaluate.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/utils/evaluate.py b/utils/evaluate.py index cc2434f..c8673bb 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 = 0.008) -> pd.Series: +def backtest(returns: pd.Series, signal: pd.Series, transaction_cost = 0.003) -> pd.Series: delta_pos = signal.diff(1).abs().fillna(0.) costs = transaction_cost * delta_pos return (signal * returns) - costs