Interest rate on short sell cash proceeds #107
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This release (mostly) contains fixes to github issues #106 and #107. The first solves a bug that happened when the user provides data (e.g., r_hat for ReturnsForecast) to be used in a backtest with varying universe, such as when there are IPOs in the backtest period. There was no logic to only select the relevant part (columns, in that case) of the user-provided data, and now there is, including multiple error checks. The second solves a bug in the accounting of short positions (the book is right, the code deviated from it). We changed CashReturn and (Stocks)HoldingCost, which have now a much clearer (and better documented) interface.
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The current implementation of
cvx.CashReturnandcvx.StocksHoldingCostassume that the investor pays the cash return (i.e., risk-free interest rate) on the value of short stock position. The relevant parameters areshort_margin_requirementandcash_return_on_borrowrespectively. This is not well-documented and may be wrong in some cases (see for example the relevant interactive brokers page). In particular, for large investors, the cash return is payed to the investor on short positions. Fix required.The text was updated successfully, but these errors were encountered: