I would like to add a "drag" to the returns of my algorithm to account for the fact that there must be so many dollars in trades a month or an inactivity fee is charged and I also would like to "charge" the margin rate against my returns to get more accuracy. Is there any way to do this? Can I subtract cash from my holdings each day to simulate this?
There isn't a built-in way to simulate this in your algorithm but you can hack the commissions model to create a custom drag. Here's a skeleton example: https://www.quantopian.com/posts/removing-cash-from-portfolio-to-pay-taxes
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Hi Mike, overestimating the commissions is probably the best way to add an account drag as of now. Another hack method to simulate borrowing rates might be to hold a short position in a fixed income asset like SHY, but this will throw your leverage and other metrics out of whack so you'd have to do some accounting to adjust for this.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.