BacktestResult

Defined in fynance.backtest

class BacktestResult(equity, returns, gross_returns, positions, costs, index=None, asset_gross_returns=None, cost_components=None)

Bases: object

Output 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.

asset_gross_returnsnumpy.ndarray, optional

Per-asset gross return contributions (T, N) for a multi-asset book (they sum to gross_returns); None for a single-asset run.

cost_componentsdict of str to numpy.ndarray, optional

Per-step cost broken down by component (e.g. transaction vs market_impact); the values sum to costs. Populated when the cost model exposes the optional components convention, else None.

Methods

to_numpy()	Return the equity curve as a numpy array.
to_price_series()	Return the equity curve as a PriceSeries.
summary([period])	Standard performance summary.

summary(period=252)

Standard performance summary.

Delegates the risk-adjusted ratios and drawdown to fynance.metrics.summary (computed on the equity curve) and adds, from the strategy’s own data, the hit-rate, total transaction cost and the trading-profile churn (n_sign_changes / trades_per_year, summed over the book — see fynance.metrics.sign_changes).

to_numpy()

Return the equity curve as a numpy array.

to_price_series()

Return the equity curve as a PriceSeries.