ENH Added round trip tearheet and supporting functions #210
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a-campbell
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Nov 16, 2015
a-campbell
commented
- Adds ability to split trades
- Adds ability to append "closing" trades to complete round trips open at the end of the backtest
- Adds various plotting and printing functions to visualize round trip duration, frequency, and profitability
- Adds ability to display profit attribution by sector.
- Tests for round trip extraction functions.
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@twiecki should you review this since you wrote a lot of this code? |
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I found some issues with the code I want to have a closer look at. We also need more unittests I think. |
Also noticed while browsing: many of the new functions' docstrings report that they accept |
| return ax | ||
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| def show_profit_attribtion(round_trips): |
…in add_closing_transactions. push final transaction back by one second to avoid overlap
…st for round trip. Enhanced add_closing_trade test by adding an already closed position
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Also, I think an example NB with some description would go a long way. Really like where this is going. |
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You might want to consider gzipping the test data. If there is a lot it will make cloning much slower, especially when you don't have great internet. |
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good call |
| In other words, separates of the closing of one short/long position | ||
| with the opening of a new long/short position. | ||
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| For example, the second transaction in this transactions DataFrame |
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Very nice/clear description.
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LGTM. I think there are still the csv files present here. |
ENH Round trip tearheet and supporting functions
