Here's a backtest w/ 0.99 per trade cost. My next post will be for $1 per trade cost.
Why such a dramatic difference?
--Grant
This seems to be a bug. Try using "1.0" instead of "1". It is handling the float and integer differently.
Hello Grant,
Try using 1.0 instead of 1. Something to do with casting (or not) ints to reals, perhaps.
Regards,
Peter
Thanks Dennis and Peter,
I've attached the backtest with $1.0 per trade (instead of the integer $1 per trade)...a much improved result! A bug, it would seem (with the implication that members haven't been too concerned with trading costs, to-date, since one would expect that the bug would have been found by now...hmm).
Grant
Thanks for this bugfind Grant!
It is indeed a rounding error. We normalize the cost into a per share commission by dividing the trade cost by the shares traded, but we don't force the cost to be a float first. I filed a zipline bug for the problem: https://github.com/quantopian/zipline/issues/128
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