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I am backtesting some momentum strategies with bt package. As you know, momentum strategies require a longer period of data than the trading period. So I added bt.algos.RunAfterDate to my strategies.
I expected bt.backtest.Result should be chaged when bt.algos.RunAfterDate was added. But Start date of Result was still first date of the data. I doubt the accuracy of the CAGR value. Because CAGR is mostly affected by the trading period.
I hope this part will be fixed.
# Pseudocode# When first date of the data is 2000-01-01 ...my_strategy= [
...
bt.algos.RunAfterDate("2001-01-01")
...
]
# Result of my backtest
Stat my_strategy
----- --------------
Start 2000-01-01 # not 2001-01-01
...
CAGR 7.25 # derived based on data period or trading period?
The text was updated successfully, but these errors were encountered:
I am backtesting some momentum strategies with bt package. As you know, momentum strategies require a longer period of data than the trading period. So I added bt.algos.RunAfterDate to my strategies.
I expected bt.backtest.Result should be chaged when bt.algos.RunAfterDate was added. But Start date of Result was still first date of the data. I doubt the accuracy of the CAGR value. Because CAGR is mostly affected by the trading period.
I hope this part will be fixed.
The text was updated successfully, but these errors were encountered: