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Add backtest example to online simulation (#984)

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you-n-g
2022-03-19 01:53:14 +08:00
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parent 8efc8b92ef
commit b7988e6428
3 changed files with 43 additions and 10 deletions
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9
docs/component/strategy.rst
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@@ -161,12 +161,9 @@ Running backtest
start_time="2017-01-01", end_time="2020-08-01", strategy=strategy_obj
)
analysis = dict()
analysis["excess_return_without_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"], freq=analysis_freq
)
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"], freq=analysis_freq
)
# default frequency will be daily (i.e. "day")
analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"])
analysis["excess_return_with_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"] - report_normal["cost"])
analysis_df = pd.concat(analysis) # type: pd.DataFrame
pprint(analysis_df)