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Introduce NetPnL in Position and Trades. #1278

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Introduce NetPnL in Position and Trades. #1278

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7fe36c6
Include Commissions in _trades DataFrame.
abhirathmahipal May 27, 2025
9500bcb
Introduce Net PnL in Trades and Positions.
abhirathmahipal May 28, 2025
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4 changes: 3 additions & 1 deletion backtesting/_stats.py
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Original file line number Diff line number Diff line change
Expand Up @@ -67,6 +67,8 @@ def compute_stats(
'SL': [t.sl for t in trades],
'TP': [t.tp for t in trades],
'PnL': [t.pl for t in trades],
'Commissions': [t._commissions for t in trades],
'NetPnL': [t.net_pl for t in trades],
'ReturnPct': [t.pl_pct for t in trades],
'EntryTime': [t.entry_time for t in trades],
'ExitTime': [t.exit_time for t in trades],
Expand All @@ -86,7 +88,7 @@ def compute_stats(
commissions = sum(t._commissions for t in trades)
del trades

pl = trades_df['PnL']
pl = trades_df['NetPnL']
returns = trades_df['ReturnPct']
durations = trades_df['Duration']

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10 changes: 10 additions & 0 deletions backtesting/backtesting.py
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Expand Up @@ -369,6 +369,11 @@ def pl(self) -> float:
"""Profit (positive) or loss (negative) of the current position in cash units."""
return sum(trade.pl for trade in self.__broker.trades)

@property
def net_pl(self) -> float:
"""Net Profit (positive) or loss (negative) of the current position in cash units."""
return sum(trade.net_pl for trade in self.__broker.trades)

@property
def pl_pct(self) -> float:
"""Profit (positive) or loss (negative) of the current position in percent."""
Expand Down Expand Up @@ -675,6 +680,11 @@ def pl(self):
price = self.__exit_price or self.__broker.last_price
return self.__size * (price - self.__entry_price)

@property
def net_pl(self):
"""Trade profit (positive) or loss (negative) after all deductions in cash units."""
return self.pl - self._commissions

@property
def pl_pct(self):
"""Trade profit (positive) or loss (negative) in percent."""
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5 changes: 3 additions & 2 deletions backtesting/test/_test.py
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Expand Up @@ -345,8 +345,9 @@ def almost_equal(a, b):
for n in (SmaCross.fast, SmaCross.slow)]
self.assertSequenceEqual(
sorted(stats['_trades'].columns),
sorted(['Size', 'EntryBar', 'ExitBar', 'EntryPrice', 'ExitPrice', 'SL', 'TP',
'PnL', 'ReturnPct', 'EntryTime', 'ExitTime', 'Duration', 'Tag',
sorted(['Size', 'EntryBar', 'ExitBar', 'EntryPrice', 'ExitPrice',
'SL', 'TP', 'PnL', 'ReturnPct', 'EntryTime', 'ExitTime',
'Duration', 'Tag', 'Commissions', 'NetPnL',
*indicator_columns]))

def test_compute_stats_bordercase(self):
Expand Down