Slippage sweep #170
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Slippage sweep #170
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I like it, nice addition @acampbell22! |
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@humdings can you help review this? |
| turnover = txn.get_turnover(transactions, positions, | ||
| period=None, average=False) | ||
| if slippage_params is None: | ||
| slippage_params = [3, 8, 10, 12, 15, 20, 50] |
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I'd put this into a tuple and add it to the default kwargs above.
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…t for slippage adjustement in all full tearsheet plots. STY Moved turnover to txn.py. Moved transactions related tests to separate file
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| Timeseries of portfolio returns to be adjusted for various | ||
| degrees of slippage. | ||
| transactions : pd.DataFrame | ||
| Daily transaction volume and dollar ammount. |
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Merged with 07e40a5. Thanks! |
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Adds new function to add slippage to returns time series. User can pass slippage-free returns and add slippage before generating plots and figures. If slippage is set, a plot of equity curves at different slippage assumptions will be generated. A plot of average annual returns at various levels of slippage will also be created.