kernc/backtesting.py

Apply half-spread and commission on both open/close trade

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#1,335 opened on 2025/12/08

 (0 件のコメント) (0 件のリアクション) (0 人の担当者)Python (863 件のフォーク)batch import
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説明

Enhancement description

Hi,

Full spread is currently applied to buy price on trade open and open+close commission only on trade close. This doesn't reflect real life and affects backtesting stop loss/trailing stop loss trigger level. Also,, I'm using trade.pl_pct for trailing stop loss calculation and I have to subtract commission manually. It also leads to bad optimization.

The situation should be :

  • trade open: apply half-spread on buy price and also apply commission
  • trade close: apply half-spread on sell price and also apply commission

Thanks a lot!

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