Backtest strategy with prices and signs about vectorbt HOT 7 CLOSED

You'll need the Portfolio.from_signals method. It expects a separate Series/DataFrame for price, and two Series/DataFrames for entry signals and exit signals respectively.

Here is a simple workflow for your particular use case:

price = df['prices']
entries = (df['signs'] == 1).vbt.signals.first() # buy at first 1
exits = (df['signs'] == 0).vbt.signals.first() # sell at first 0

portfolio = vbt.Portfolio.from_signals(price, entries, exits)
print(portfolio.total_return)

Refer to the portfolio documentation to see what methods and metrics you can use to build a portfolio.

from vectorbt.

@polakowo sorry for the late response. It works with your code. Is it possible to set commissions to fixed value? Some brokerage, like the Interactive brokers that I use, set commissions as a fixed price per quantity. For example, if I buy 100 equities of SPY, the commission is 100x0.002$, which is 2$.

from vectorbt.

If you look in the docs of the from_signals method, you will see that two commission inputs are supported: variable fees (in % of value) and fixed fees (in $). Variable fees are charged per dollar transacted. If you commission depends upon quantity and not value, you will have to multiply your transaction size with 0.002 and pass it as fixed fees. Again, here are the docs.

from vectorbt.

I saw that, but I thougt fixed_fees is invariant to quantity.
Thanks.

from vectorbt.

fixed_fees is indeed invariant to quantity, but in order for your example to work you need to multiply quantity by your commission to get what can be used as fixed fees.

Under the hood, fees are multiplied by price * quantity, while fixed_fees is just a constant. Also remember that you can pass your size and all the fees as arrays, such that you can define a different fee at different time steps.

from vectorbt.

Now I am not sure anymore what should I do to set fixed fee, say $.001

from vectorbt.

If your fee is in $ it must be fixed_fee, if it’s in % of transaction value it must be fees, simple as that.

from vectorbt.