INNER CODE UNIT · Python

cost

initial-d/ml-quant-trading · src/mlquant/backtest/engine.py:88

    cost = delta.sum(axis=1) * (costs_bps * 1e-4)
    net = gross - cost

    equity = np.cumprod(1.0 + net)

    summary = {
        "ann_return": metrics.annualised_return(net),
        "ann_vol":    metrics.annualised_vol(net),
        "sharpe":     metrics.sharpe_ratio(net),
        "sortino":    metrics.sortino_ratio(net),
        "calmar":     metrics.calmar_ratio(net),
        "max_dd":     metrics.max_drawdown(net),
        "turnover":   metrics.turnover(weights),
        # Cumulative over the run, unlike its annualised neighbours above.
        # Both keys carry the same value for one release; `cost_drag` is
        # deprecated. See docs/public_data_validation.md for the glossary.
        "cost_drag_cumulative": float(cost.sum()),
        "cost_drag":  float(cost.sum()),

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