Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Calculating Returns based on currently invested money, instead of capital base.
Lukas Bielinski
posted

Hi folks,

i would like to backtest my algorithm for a saving scheme. This means, that I invest every month $1.000 in the same stocks (or other). When I run my backtest for 12 months, the algorithm invested $12.000. For this test I had to set the capital base to 12k, which is used for the daily returns. But this is not true, since I don't have the 12k in the beginning. So it calculates the returns for 12k, even though only 1k is invested after month 1, and 2k after month 2. If I set a capital base of 1k, the other 11k would be leveraged, which is not true either.

My question is, how is it possible to get daily returns based on currently invested capital?

Thank you very much.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.