BacktestResult¶
Defined in fynance.backtest
- class BacktestResult(equity, returns, gross_returns, positions, costs, index=None)[source]
Bases:
objectOutput of
backtest.- Attributes:
- equitynumpy.ndarray
Equity curve.
- returnsnumpy.ndarray
Net strategy returns (after costs).
- gross_returnsnumpy.ndarray
Strategy returns before costs.
- positionsnumpy.ndarray
Position/weight book used.
- costsnumpy.ndarray
Per-step transaction costs.
- indexnumpy.ndarray, optional
Temporal index carried from the input.
- summary(period=252)[source]
Standard performance summary.
Delegates the risk-adjusted ratios and drawdown to
fynance.metrics.summary(computed on the equity curve) and adds the hit-rate and total transaction cost from the strategy’s own data.
- to_numpy()[source]
Return the equity curve as a numpy array.
- to_price_series()[source]
Return the equity curve as a
PriceSeries.