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backtesting.py

kernc / backtesting.py

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calculation of `Buy & Hold Return`

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zillionare
zillionare commented Apr 30, 2021

this is how Buy & Hold Return is calculated:

        c = data.Close.values
        s.loc['Buy & Hold Return [%]'] = (c[-1] - c[0]) / c[0] * 100  # long-only return

so it's calced use day one and the day last.

Expected Behavior

Buy & Hold Return is used for compare with strategy gain. Therefore, I guess they should started at same time, since the strategy get enough data to w

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bug good first issue Hacktoberfest
Stockie

frkornet / Stockie

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Trading system that aims to buy stocks when they are low and sell stock when they have risen. The time horizon for trades is 2 - 45 days. The strategy has been successfully backtested in version 0.2. Next step: forward test strategy to ensure that it works in practice. Test RL to see if we can can improve results (currently only ~ 5 % of max.)

statistics trading threshold curve strategy stocks trade buying backtesting-engine day backtesting savgol yfinance sell-pairs
  • Updated Jun 3, 2020
  • Jupyter Notebook

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