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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

dsinyakov / quant

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Codera Quant is a Java framework for algorithmic trading strategies development, execution and backtesting via Interactive Brokers TWS API or other brokers API

java trading trading-bot trading-api trading-platform trading-strategies trading-algorithms quantitative-finance algorithmic-trading-engine algorithmic-trading trading-simulator kalman-filter interactivebrokers quantitative-trading automated-trading strategy-development
  • Updated Dec 15, 2021
  • Java

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