kernc/backtesting.py
Apply half-spread and commission on both open/close trade
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#1,335 创建于 2025年12月8日
bughelp wanted
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描述
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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