kernc/backtesting.py

Plot P/L triangles in absolute currency units

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#177 opened on Nov 10, 2020

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Description

I have set the reference price for the cash PnL at the spread between two securities (I am backtesting a mean reversion strategy). However, in the html output of the plot I am getting the PnL in terms of the differnce in the spread as a function of the entry price of the spread when the trade was initiated. Instead, I want to get the PnL based off of the prices of the sum of the two securities (VIX futures) which make up the spread. This would look like cash difference in spread / sum(security_1, security_2). I have tried to add an additional class which could be inherited from Order but it's not working out.

Any ideas on how to provide custom data points (column names of our data) to compute the PnL during run()?

Contributor guide

Tech stack
python
Domain
data
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
half day
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
Pythonbacktesting.py basics
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
70
Research direction
To implement this feature, first examine the plotting module in the backtesting.py source code (likely in `backtesting/plot.py`). Understand how the PnL is currently computed from the spread and how it is displayed in the HTML plot. Then, consider adding a user provided function or parameter to the `run()` method that allows custom calculation of PnL values from the data columns. Review any existing discussions in the comments for additional insights.