INNER CODE UNIT · Python
BacktestResult
initial-d/ml-quant-trading · src/mlquant/backtest/engine.py:32
class BacktestResult:
portfolio_returns: np.ndarray # [T] net of costs
gross_returns: np.ndarray # [T] gross
cumulative_equity: np.ndarray # [T]
weights: np.ndarray # [T, N]
cost_drag_cumulative: float # total cost paid over the whole run
metrics: dict # summary table
@property
def cost_drag(self) -> float:
"""Deprecated alias for :attr:`cost_drag_cumulative`.
The name was ambiguous: this figure is cumulative over the backtest,
while ``ann_return``, ``gross_ann_return`` and ``ann_vol`` alongside it
are annualised. Kept for one release so existing scripts and archived
JSON reports keep working. Prefer ``cost_drag_cumulative``.
"""
return self.cost_drag_cumulative