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Update backtest.py #435

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Update backtest.py #435

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17 changes: 13 additions & 4 deletions bt/backtest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -18,7 +18,7 @@ def run(*backtests):
object containing the results of the backtests.

Args:
* backtest (*list): List of backtests.
* backtests (*list): List of backtests.

Returns:
Result
Expand Down Expand Up @@ -62,8 +62,7 @@ def benchmark_random(backtest, random_strategy, nsim=100):
if not backtest.has_run:
backtest.run()

bts = []
bts.append(backtest)
bts = [backtest]
data = backtest.data.dropna()

# create and run random backtests
Expand Down Expand Up @@ -135,6 +134,8 @@ class Backtest(object):
* security_weights (DataFrame): Weights of each security as a
percentage of the whole portfolio over time
* additional_data (dict): Additional data passed at construction
* risk_free_rate (float): Risk free rate for performance stats
* annualization_factor (int): Annualization factor for performance stats

"""

Expand All @@ -148,6 +149,8 @@ def __init__(
integer_positions=True,
progress_bar=False,
additional_data=None,
risk_free_rate=0.0,
annualization_factor=252,
):
if data.columns.duplicated().any():
cols = data.columns[data.columns.duplicated().tolist()].tolist()
Expand All @@ -173,6 +176,9 @@ def __init__(
self._sweights = None
self.has_run = False

self.risk_free_rate = risk_free_rate
self.annualization_factor = annualization_factor

def _process_data(self, data, additional_data):
# add virtual row at t0-1day with NaNs
# this is so that any trading action at t0 can be evaluated relative to
Expand Down Expand Up @@ -256,7 +262,10 @@ def run(self):
if self.progress_bar:
bar.stop()

self.stats = self.strategy.prices.calc_perf_stats()
self.stats = self.strategy.prices.calc_perf_stats(
risk_free_rate=self.risk_free_rate,
annualization=self.annualization_factor
)
self._original_prices = self.strategy.prices

@property
Expand Down
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