Hi,
since transaction costs and taxes are very important in evaluating any investment process, I was looking for the following two reports;
dollars/shares traded per month/quarter/year for the backtest period, similarly to the way that the rolling period returns are shown. The information is available on a day-by-day and security basis (transactions report). I am looking for the aggregate for the entire portfolio over the standard intervals. Comparing gains with dollars/shares traded is valuable in judging the real-world value of a strategy.
realized gains, emphasis on realized, gains on a yearly basis. Even if not split by long and short-term it would be very useful in thinking about the merits of rebalancing strategies. Because people have different tax rates and because of other considerations like wash sales etc., it may not be practical to produce a full tax report, but just the yearly realized gain report would be useful. Similary the yearly dividend income would be useful. The algorithm developers can use these numbers to estimate tax consequences for themselves.
Both of these are just bookkeeping exercises, but in my mind very useful when deciding whether to pursue an idea.
I hope that these reports can be part of the standard reporting we get after a backtest.
Is anything like this available on quantopian?
Thank you
