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Added Order Fees #1119

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8 changes: 7 additions & 1 deletion backtesting/_stats.py
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Original file line number Diff line number Diff line change
Expand Up @@ -38,6 +38,7 @@ def compute_stats(
ohlc_data: pd.DataFrame,
strategy_instance: 'Strategy',
risk_free_rate: float = 0,
order_fees:float = 0,
) -> pd.Series:
assert -1 < risk_free_rate < 1

Expand Down Expand Up @@ -68,6 +69,7 @@ def compute_stats(
'Tag': [t.tag for t in trades],
})
trades_df['Duration'] = trades_df['ExitTime'] - trades_df['EntryTime']
total_fees = len(trades) * order_fees
del trades

pl = trades_df['PnL']
Expand All @@ -90,7 +92,11 @@ def _round_timedelta(value, _period=_data_period(index)):
have_position[t.EntryBar:t.ExitBar + 1] = 1

s.loc['Exposure Time [%]'] = have_position.mean() * 100 # In "n bars" time, not index time
s.loc['Equity Final [$]'] = equity[-1]
if total_fees != 0:
s.loc['Equity Final [$] (without fees)'] = equity[-1]
s.loc['Equity Final [$]'] = equity[-1] - total_fees
else:
s.loc['Equity Final [$]'] = equity[-1]
s.loc['Equity Peak [$]'] = equity.max()
s.loc['Return [%]'] = (equity[-1] - equity[0]) / equity[0] * 100
c = ohlc_data.Close.values
Expand Down
5 changes: 4 additions & 1 deletion backtesting/backtesting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1030,7 +1030,8 @@ def __init__(self,
margin: float = 1.,
trade_on_close=False,
hedging=False,
exclusive_orders=False
exclusive_orders=False,
order_fees : float = 0
):
"""
Initialize a backtest. Requires data and a strategy to test.
Expand Down Expand Up @@ -1133,6 +1134,7 @@ def __init__(self,
)
self._strategy = strategy
self._results: Optional[pd.Series] = None
self.order_fees = order_fees

def run(self, **kwargs) -> pd.Series:
"""
Expand Down Expand Up @@ -1238,6 +1240,7 @@ def run(self, **kwargs) -> pd.Series:
ohlc_data=self._data,
risk_free_rate=0.0,
strategy_instance=strategy,
order_fees=self.order_fees
)

return self._results
Expand Down