Refactor roundtrip #293
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Refactor roundtrip #293
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twiecki
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CC @a-campbell |
…n and does not require closing of positions.
…d one that has portfolio values to compute portfolio round-trip return.
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| ('Avg # round_trips per day', lambda x: float(len(x)) / | ||
| (x.max() - x.min()).days), | ||
| ('Avg # round_trips per month', lambda x: float(len(x)) / | ||
| (((x.max() - x.min()).days) / 21)), |
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could use utils.APPROX_BDAYS_PER_MONTH
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| abs_amount = int(abs(t.amount)) | ||
| indiv_prices = [signed_price] * abs_amount | ||
| if (len(price_stack) == 0) or \ | ||
| (copysign(1, price_stack[-1]) == copysign(1, t.amount)): |
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would np.sign(price_stack[-1]) == np.sign(t.amount) work here?
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That's what I had initially but there was a huge overhead with calling numpy on a scalar.
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Complete rewrite of the round-trip analysis. Now does complete portfolio reconstruction based on transactions and matches orders even without crossing the zero-mark which should make it much more generally applicable. Also much better output.