kernc/backtesting.py

Plot P/L triangles in absolute currency units

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#177 建立於 2020年11月10日

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描述

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()?

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