only available returns are cumprod
Opened this issue · 2 comments
flipdazed commented
Currently the only returns available are cumulative products.
I couldn't find any alternative to Calculations().create_mult_index()
for cumulative sums
Suggest cumulative sum flag when calculating backtest cumulative PnL
saeedamen commented
I think that's a good idea @flipdazed. I had already started to add this functionality to the QuickCharts class. I'll add it to the backtest too, as a flag. I can add it to the BacktestRequest as a flag for the user to set.
saeedamen commented
@flipdazed I've added a cumulative sum flag to BacktestRequests
(and added the associated method in Calculations
in findatapy.
eg. br.cum_index = 'mult' # 'mult' or 'add'