Commit 190b4f4

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BUG: Fix computing commissions

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+23

-1

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Lines changed: 2 additions & 1 deletion

Original file line number	Diff line number	Diff line change
`@@ -952,7 +952,8 @@ def _process_orders(self):`
`952`	`952`	`# Adjust price to include commission (or bid-ask spread).`
`953`	`953`	`# In long positions, the adjusted price is a fraction higher, and vice versa.`
`954`	`954`	`adjusted_price = self._adjusted_price(order.size, price)`
`955`		`- adjusted_price_plus_commission = adjusted_price + self._commission(order.size, price)`
	`955`	`+ adjusted_price_plus_commission = \`
	`956`	`+ adjusted_price + self._commission(order.size, price) / abs(order.size)`
`956`	`957`
`957`	`958`	`# If order size was specified proportionally,`
`958`	`959`	`# precompute true size in units, accounting for margin and spread/commissions`

Lines changed: 21 additions & 0 deletions

Original file line number	Diff line number	Diff line change
`@@ -260,6 +260,27 @@ def next(self):`
`260`	`260`	`self.assertEqual(stats['_equity_curve']['Equity'].iloc[2:4].round(2).tolist(),`
`261`	`261`	`[9781.28, 9846.04])`
`262`	`262`
	`263`	`+ def test_commissions(self):`
	`264`	`+ class S(_S):`
	`265`	`+ def next(self):`
	`266`	`+ if len(self.data) == 2:`
	`267`	`+ self.buy(size=SIZE, tp=3)`
	`268`	`+`
	`269`	`+ FIXED_COMMISSION, COMMISSION = 10, .01`
	`270`	`+ CASH, SIZE, PRICE_ENTRY, PRICE_EXIT = 5000, 100, 1, 4`
	`271`	`+ arr = np.r_[1, PRICE_ENTRY, 1, 2, PRICE_EXIT, 1, 2]`
	`272`	`+ df = pd.DataFrame({'Open': arr, 'High': arr, 'Low': arr, 'Close': arr})`
	`273`	`+ with self.assertWarnsRegex(UserWarning, 'index is not datetime'):`
	`274`	`+ stats = Backtest(df, S, cash=CASH, commission=(FIXED_COMMISSION, COMMISSION)).run()`
	`275`	`+ EXPECTED_PAID_COMMISSION = (`
	`276`	`+ FIXED_COMMISSION + COMMISSION * SIZE * PRICE_ENTRY +`
	`277`	`+ FIXED_COMMISSION + COMMISSION * SIZE * PRICE_EXIT)`
	`278`	`+ self.assertEqual(stats['Commissions [$]'], EXPECTED_PAID_COMMISSION)`
	`279`	`+ self.assertEqual(stats._trades['Commission'][0], EXPECTED_PAID_COMMISSION)`
	`280`	`+ self.assertEqual(`
	`281`	`+ stats['Equity Final [$]'],`
	`282`	`+ CASH + (PRICE_EXIT - PRICE_ENTRY) * SIZE - EXPECTED_PAID_COMMISSION)`
	`283`	`+`
`263`	`284`	`def test_dont_overwrite_data(self):`
`264`	`285`	`df = EURUSD.copy()`
`265`	`286`	`bt = Backtest(df, SmaCross)`

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