Compute an equity curve from a backtest

Compute an equity curve from a backtest

Usage

ledgr_compute_equity_curve(bt)

Arguments

bt

A ledgr_backtest object.

Value

A tibble containing equity, running maximum, and drawdown.

Examples

bars <- data.frame(
  ts_utc = as.POSIXct("2020-01-01", tz = "UTC") + 86400 * 0:3,
  instrument_id = "AAA",
  open = c(100, 101, 102, 103),
  high = c(101, 102, 103, 104),
  low = c(99, 100, 101, 102),
  close = c(100, 101, 102, 103),
  volume = 1000
)
strategy <- function(ctx, params) {
  targets <- ctx$flat()
  targets["AAA"] <- 1
  targets
}
bt <- ledgr_backtest(data = bars, strategy = strategy, initial_cash = 1000)
ledgr_compute_equity_curve(bt)
#> # A tibble: 4 × 6
#>   ts_utc              equity  cash positions_value running_max drawdown
#>   <dttm>               <dbl> <dbl>           <dbl>       <dbl>    <dbl>
#> 1 2020-01-01 00:00:00   1000  1000               0        1000        0
#> 2 2020-01-02 00:00:00   1000   899             101        1000        0
#> 3 2020-01-03 00:00:00   1001   899             102        1001        0
#> 4 2020-01-04 00:00:00   1002   899             103        1002        0
close(bt)