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only available returns are cumprod #38

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flipdazed opened this issue Nov 2, 2020 · 2 comments
Open

only available returns are cumprod #38

flipdazed opened this issue Nov 2, 2020 · 2 comments

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@flipdazed
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Currently the only returns available are cumulative products.
I couldn't find any alternative to Calculations().create_mult_index() for cumulative sums

Suggest cumulative sum flag when calculating backtest cumulative PnL

@saeedamen
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I think that's a good idea @flipdazed. I had already started to add this functionality to the QuickCharts class. I'll add it to the backtest too, as a flag. I can add it to the BacktestRequest as a flag for the user to set.

@saeedamen
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@flipdazed I've added a cumulative sum flag to BacktestRequests (and added the associated method in Calculations in findatapy.

eg. br.cum_index = 'mult' # 'mult' or 'add'

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