Added variable resolution and risk free rate to the back-test metrics #63
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Adds substack to the top of the README.md
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This is great - I'm going to spend a bit of time before merging this to add the new settings to docs and get a review! |
| @@ -836,6 +836,9 @@ def search(arr, size, x): | |||
| # Find the interval second value | |||
| interval_value = time_interval_to_seconds(resample_setting) | |||
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| # Add the internval value to dictionary | |||
| number of trading periods in each year | ||
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| """ | ||
| # TODO: update logic to account for strategies that do not hold overnight |
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For now, I think this is perfectly fine. This is a really valuable function especially if they put in a different resolution
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Detecting no holds after market close is a little difficult on our end and we could theoretically update this in the case of the interval that they want to do (either based on an additional settings preference). Also, we should probably also detect if it's on a crypto or 24/7 exchange so it's 365 instead of 252. @EmersonDove , thoughts on how we should do this? Perhaps passing in an additional parameter of days?
| @@ -71,7 +71,8 @@ | |||
| "continuous_caching": True, | |||
| "resample_account_value_for_metrics": "1d", | |||
| "quote_account_value_in": "USD", | |||
| "ignore_user_exceptions": False | |||
| "ignore_user_exceptions": False, | |||
| "risk_free_return_rate" : 0.0 | |||
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saw that the build failed; is there something i need to fix here? |
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I'm not sure I'm looking into it now. It seems like the |
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It looks like GitHub just doesn't pass the test keys in from fork PRs. I think your code is good to go I'll just update docs and give it a merge. |
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Kudos, SonarCloud Quality Gate passed!
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Adds variable trading-period capability to the calculation of the metrics. The value is driven off the "resample_account_value_for_metrics" property in the backtest.json file.
Also added "risk_free_return_rate" to the file so the user can specify their value. Added the value into the defaults to ensure error checking.
left a TODO in regards to changing the values when strategies are setup to close all positions over night; not quite ready to tackle this myself yet.